If the hammer hits it directly, I like to harden the back end.  Otherwise it tends to upset and bind the pin in the bore.

Yes, harden it.  Assuming it is O-1 drill rod, tempering to straw color after hardening (as correctly advised by DB) should give you a hardness of Rc 60 or so.  My opinion is that this is a bit hard for a hammer struck firing pin.  I prefer to temper to a hardness equal to or slightly less than that of the hammer, so that if any distortion occurs, it will be the firing pin that is more likely to distort from impact than the striking face of the hammer.  It's easier to make a new firing pin than a hammer.  So, I temper to around 550 degrees (purple to blue) and closely monitor the pin when test firing for any degree of upset.  If any impingement is noted, the pin is cleaned up, rehardened, and retempered to slightly higher hardness.  I agree with DB, don't temper past blue.  

Hayface