Lewis,
I have no idea if gun blue is safe on cookware, I'd refrain from using it; I've only used it on ashtrays, stove keys, and odd cast iron pieces like lamp bases.
I believe the color changes occur once the oil has reached a certain high temp. Different oils "smoke" at different temps.
And I also believe it make no difference when the oil is applied, cold, hot, or in between. The point is to get it to 450-500 degrees.
Again, the "seasoning" occurs at the instant of getting to the smoking point or thereabout. My first coat results in a somewhat flat black, much the same as before, because the oil penetrates in the pores of the metal; the second coat stays more on the surfaces, giving a nice semi gloss finish.
From my experience, all oils turn a shade of brown when heated enough, but on black cast iron, you can't see that brown.
Everyone has different methods of seasoning, but the basic principle remains the same: get the oil to the smoke point, and you're in business. One trick however is to wipe off the oil real good before putting it in the oven, otherwise you'll get a blotchy finish...
Good luck