I've taken to throwing mine on the hottest burner of the stovetop and hitting it with one or two propane torches (not flashlights) at the same time (typically when the wife is not home). Work the torches until all areas of the gasket have had a chance to glow red. Now, is this most metalurgically perfect approach to annealing? I doubt it, but I'm fairly sure it is good enough for motorcycle building. Water or no water doesn't matter, unless you can't wait for the gasket to air cool.
With regard to whether or not...just do it.
Richard L.