S&W has one of the largest forging & heat-treating operations going.
Yes, they forge and heat treat their own slides. (The stainless slides are through-hardened.)
They've made frames, slides & barrels for other 1911 gun companies at one time or another, but they typically keep pretty mum about such things. (Professional courtesy, business agreements, etc.)
This sort of thing isn't exactly unheard of in the firearms business, you know.
They make any number of other things requiring forging and heat-treating, too.
I suspect many folks might be quite surprised by how many millions of dollars S&W has spent, and continues to spend, when it comes to buying, maintaining and operating state-of-the-art manufacturing equipment.