Engine valves have a extremely hard skin which will not anneal, with a softer core.
Nick's advice is good for tough as opposed to hard steels.
You can get, from a decent tool shop, what is known as silver steel bar. This is available in English and metric dia about 12" long.
It is a carbon steel which can be easily hardened, with a little care, after thread forming. Heat to a cherry red and plunge into water or a light oil. Polish well until bright then gently heat until the bit you want hard turns to the colour required. This is the hard bit. A light straw is hard and a dark blue is soft. Light straw would be good for say a wood chisel edge but too hard for say a screwdriver - it would shatter.
A colour for a chisel to cut steel is a dark straw to just starting light blue. Once you see the colour you need - plunge immediately into light oil.
If you want overall hardness you need to temper over a steel plate on top of the heat source - usually a gas ring. If only one end is needed to be hard then gently heat from the end that can be soft. If you have polished well you will see the colour change rise up the bar.
What is your application?
You say 7mm dia is about right. Well you might get a 7mm die but I have never come across one and as a non preferred size it would be very expensive - if available. 6mm is a common thread size (.23"). The nearest English size is .25", (7mm is .27") so you have a choice of threads 1/4" BSF, BSW. UNC being the common ones.
Jopo