how much are they out? if its extreme return them or contact the manufacturer regarding what the tolerances should be, but its hard to know whether your have a problem without knowing the magnitude of the problem
heating it seems like a bad idea, 1) you'll anneal them, 2) whatever shape it is in now is the equilibrium of the forces in the steel. when you heat them it will move, you may end up with a pretzel. even you had it commercially normalized and didn't care that it was annealed, it would not come out straight. maybe the idea some localized heating, the way sheet metal bashers uses heat to change the shape of metal, not sure I'd want go there though
I've never done it but shafts are generally straighted using a arbor or hydraulic press. maybe someone here has experience and can give better instruction, but I'd do it careful with indicators and in a few steps, press so much, measure, press again etc.