Quenching can make some metals brittle if cooled too fast, from comments on this forum it seem copper remains soft no matter whether you quench it or not, so just let it cool on its own good time, truth to tell I just bung a new gasket (solid copper) on with a smear of grease without annealing and have never had a problem, maybe depends on your head and barrels, you'd probable feel better if you did anneal it tho