Not necessary if you are quenching a temper. If you are quenching a water hardening steel for hardness, use a brine solution. It hardens better than plain water, deeper, is less violent, greatly lowers risk of cracking, and hardens more evenly. If just between tempers, then you can use water if you don't want to wait for it to air cool for the next temper. In steels with a reputation for retaining austenite in the martensitic phase, a water quench between multiple tempers also helps lower possible reformation of austenite.