Silvers,
Somewhere I'd read the same - anneal before re-case - even if you're not engraving.

I asked the guys at Classic Guns about this exact thing... and heard a couple seconds of dead air while John suffered another ding-a-ling question from a tirekicker. He politely said he didn't find annealing beforehand added any extra measure of protection against warpage. He would anneal first for $25 if I insisted, and then clearly reiterated his position.