btw - I can't confirm this, but I'm not sure if annealing is necessary or a good idea? It may soften the material while it is warm, but if the gasket isn't perfectly cool when it is put in a) the tension will be wrong due to thermal expansion and b) the sealing material will have to thin/spread out when the gasket cools.
Even if the material is 'softer' when it's put incold, it's still possible the o-rings may etch themselves a groove in the gasket, which would kind of screw the point of the o-rings up. O-rings are there to add extra pressure to 'clamp' the gasket in place as copper is a malleable material, if there is a groove in the gasket for the o-rings to sit in, then it is possible that there won't be as great a clamping force around the combustion chambers and hence the gasket will blow.