I had to modify my Saiga 7.62x39 bolt to fit into an AKM style (Hungarian SA85) trunnion by taking a slight bit of material off the locking lugs. Are AK bolts heat treated all the way through or do I need to case harden my locking lugs?

They are case hardened.

How are you using it?  The Saiga bolt is not even compatible with the Hungarian carrier stem channel size or locking cam geometry

Because reasons, I had to replace the Saiga trunnion and barrel with a Hungarian trunnion and Bulgarian AKM barrel. In order to get the bolt to fit (not just headspace as the locking surfaces were incompatible with my bolt) I ground a bit of metal off the locking lugs and slightly modified the angle so that it would rotate into battery. Maybe that wasn't the best idea?

I have headspaced the barrel and it checks out. I will case harden the lugs after removing the firing pin and extractor.

Hey if it works, it works. Just hope it stays that way.