Optimal Control for legged robots has gone through a paradigm shift from position-based to torque-based control, owing to the latter's compliant and robust nature. In parallel to this shift, the community has also turned to Deep Reinforcement Learning (DRL) as a promising approach to directly learn locomotion policies for complex real-life tasks. However, most end-to-end DRL approaches still operate in position space, mainly because learning in torque space is often sample-inefficient and does not consistently converge to natural gaits. To address these challenges, we introduce Decaying Action Priors (DecAP), a novel three-stage framework to learn and deploy torque policies for legged locomotion. In the first stage, we generate our own imitation data by training a position policy, eliminating the need for expert knowledge in designing optimal controllers. The second stage incorporates decaying action priors to enhance the exploration of torque-based policies aided by imitation rewards. We show that our approach consistently outperforms imitation learning alone and is significantly robust to the scaling of these rewards. Finally, our third stage facilitates safe sim-to-real transfer by directly deploying our learned torques, alongside low-gain PID control from our trained position policy. We demonstrate the generality of our approach by training torque-based locomotion policies for a biped, a quadruped, and a hexapod robot in simulation, and experimentally demonstrate our learned policies on a quadruped (Unitree Go1).