Interference in thin films of oxide make heated steel pretty colours. So, the hot end of a gun can be painted light blue, and as you proceed to cooler parts it goes through purple to weak orange.
I got this idea from some blog or other, but could not find it again. (Let me know, if you have an example). I used it on a multi-melta.
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Using inks/washes or possibly very thin paint build up some rings. Try to vary the intensity, so the colours blend. If it comes out a bit strong, it can be knocked back a touch by drybrushing with the base metal colour again.
Update: Thanks to Siph, here's my reference.