Should be easy to do, it's called forging. I have done it many times . Sometimes I build dies , and sometimes I don't. I even make my one mm screws by forging, and you do not need Oxy-Acetylene , only a Propane Torch with a focused flame. I also use welding rod . If you can get 304, do it,as it machines easier for post forge work.
Here is one technique I use.
First-Make a pair of steel jaws to drop into your bench vice these would be inverted L shape in cross-section and maybe 6 mm in thickness (1/4") . These jaws are for holding work and are tools and will be machined,drilled or what ever so DO NOT "grind them pretty !" ( Structural steel like angle iron works , but mill out the corner radius ! )
So here is how I make a 1 mm screw.
I close the jaws tight with a piece of paper between them, and then drill and tap a 1 mm hole between the jaws.
Now I have a controlled cavity-toss the paper . I thread 1 mm rod with a die, and then place it in the "Cavity"
and tighten the jaws which gives me almost 360 degrees of clamp on the threads ( no distortion)
Now I snip off the rod about 3-4 mm above the jaws and heat it cherry red and hit it gently with a hammer and flatten it out, Then I file the head square ( Using guidelines scrobed in the jaw tops .
When you need extra material for a "Head: another technique is to ( follow the above approach) to make a pair of pliers (Like the vise jaws !) . Now snip the wire much higher than the 3-4 mm to say 10 mm and heat to cherry , but grip the pliers on the wire about 2-3 mm above the jaws and hit with hammer VERY quickly.
this will expand the steel next to the jaws only and keep stock on hand. Now repeat to add material.
The cherry red steel is soft and you control the stock with cold pliers. even though the rod is hot, it's contained within the plier jaws ans the heated steel will flow.
Hope this helps
Rich