CathInfo.com

From a brief account online:

According to St. Basil, forty soldiers who had openly confessed themselves Christians were condemned by the prefect to be exposed naked upon a frozen pond near Sebaste on a bitterly cold night, that they might freeze to death. Among the confessors, one yielded and, leaving his companions, sought the warm baths near the lake which had been prepared for any who might prove inconstant. One of the guards set to keep watch over the martyrs beheld at this moment a supernatural brilliancy overshadowing them and at once proclaimed himself a Christian, threw off his garments, and placed himself beside the thirty-nine soldiers of Christ. Thus the number of forty remained complete. At daybreak, the stiffened bodies of the confessors, which still showed signs of life, were burned and the ashes cast into a river. The Christians, however, collected the precious remains, and the relics were distributed throughout many cities; in this way the veneration paid to the Forty Martyrs became widespread, and numerous churches were erected in their honour.

Not that it proves anything in this matter, but it is a fact that any sacrament and the grace thereof are distinct things.  I can receive certain sacraments of the living while in a state of sin, and thus, although I receive the sacrament, I do not receive the grace proper to it.  For example, if I am in a state of sin when I am confirmed, I will not receive the grace of that sacrament until/unless I confess my sins.  Once I have done so, the grace of confirmation, impeded until that time, will flow into my soul.

There is NO EVIDENCE he received the Sacrament of Baptism, yet his being venerated by Holy Church as a martyr, for centuries at that, is a guarantee that he is in heaven.  I have to get cracking on some work, so I cannot get into it more at the moment.