Yes, they did!

You can form a colored layer of oxidation on an iron blade by polishing the metal and heating it to a specific temperature. This chart illustrates the various colors you can achieve, and the temperatures at which they're produced (in *F). The results can be very vivid, if you control the heat carefully.

These sorts of treatments were probably pretty common, though they often don't survive on weapons recovered from archaeological sites. Some of the weapons I study (which were buried in graves and, hence, are now heavily corroded) have surviving traces in their metallurgy of having been carefully heated to the right temperature to turn their blades bright blue when they were new. Others have inlayed copper alloy decorations which are hard to see on uncolored steel, but which really pop when the metal is turned black or blue. Brian Gilmour has argued that these kinds of surface finishes were widespread, but have in many cases been polished off by years of over-zealous Victorian museum curators who tried to keep the weapons artificially shiny, and I think he's correct.

Can you be more specific?