Here's another option for finishing the handwheel on your Benchcrafted vise.
The handwheels are shipped with a coat of oil for rust prevention. You'll need to remove this whether you use the cold blue or not, obviously. If you have particularly caustic skin oils, live in a really humid area, or have an unconditioned shop, you'll need to protect the vise (not just the handwheel) from corrosion, just like you do with any raw steel or cast iron surface in your shop. Paste wax, some sort of film finish (oil, etc.), baked flax.
You may also want to try cold bluing. The technique we use gives a light cold blue finish. It's not a deep black or blue. It's reminiscent of the dark finish you see on forged work. And we love it for that reason. That aesthetic really ties in with the look of a classic workbench. It also helps greatly in preventing rust (especially if you oil the wheel afterwards.) If you want a darker finish, simply reapply another coat of the bluing after burnishing the first coat with the steel wool. Don't wipe down with the mineral spirits each time, but only after the final coat. You can put several coats on, but you'll hit a wall after about 4 coats. It won't get any darker. After the final bluing treatment, we wipe on a light coat of Birchwood-Casey Tru-Oil. It's a tung-oil based finish that seals the bluing. You can also use boiled linseed oil. The oil seals in the bluing and deepens the look. It's nice.
Don't use this finish in combination with baked flax. It's either/or.
We used Birchwood-Casey's Super Blue for this wheel. They also make a less-powerful version called Perma Blue, which may give different results (lighter, I'm guessing). Brownell's also makes Oxpho Blue, which we haven't tried, but expect it would yield similar results. The Birchwood-Casey products are widely available. Try your local gun shop or sporting goods store. Cabela's, Bass Pro, even Wal-Mart should have it.
Bluing is corrosive and bad for your lungs if a mist is inhaled. That shouldn't happen with a brushing technique. But we don't like the smell of the stuff, so wear a mask, or do it outside. Also, wear gloves.
Also, head's-up on ordering vises. Ordering buttons go up today or tomorrow. That's as precise as we can be. You know computers....