Hi LaciH,
For laboratory furnace (small), some methods to avoid scale formation
1) Use an inert gas such as argon or a protective atmosphere (for the latter, need to avoid carburizing or de-carburizing conditions).
2) Bury mild steel parts in steel chips, or bury higher carbon steels in cast iron chips.
3) Use a ceramic paint designed for heat treating steel -- it protects the steel from oxidizing when heated in air, but then falls off when the steel is water-quenched. Some brands: Ceram-Guard from A.O.Smith Protective coatings, Aniscol 11 from Foseco, & Turco Pretreat by ELF Atochem.
Water blast is only used on large scale. See a book like The Making, Shaping and Treating of Steel.