Actually with copper it can be cooled slowly or quenched rapidly in water and it does not appear to affect the temper either way, unlike some metals.
If you do plunge it in cool water after annealing it "squeaks" and the surface oxidation pops off, which is a good thing, otherwise you get a nice spray of carbon dust all over you when you bend larger gauges of wire.
There is some info in
bonsaiTALK Links under Techniques->Wiring on annealing wire. It take a hot fire to do it. You can use that bare copper from the hardware store, or reclaim some from salvage. It's easier still to buy it pre-annealed if you can afford it. It's helpful to know what the feel of well annealed wire is, anyway, so you know what to shoot for.
Regards,
Matt