Steve,
Cold rolled steel is far better quality, and will machine better, hot rolled can be a bit woolly sometimes when milling or turning it,
However as David says, if you anneal it first cold rolled should be stress free, nicer to machine, and will have a better finish.
If you can't find anyone with a forge or gas furnace, try a propane torch, or even a bonfire would do, get it to dull red and let it soak for a while, then let it cool down slowly, at this point it should be stress free.
It will probably have some scale on the surface, which is easily cleaned off with a sander of some sort, all this effort will be well worthwhile, as you will end up with a far better job than using hot rolled.
Richard.