found this from a google search, but it agrees with what I have been told by other builders. I know a couple of builders that did this and they said it makes a big difference. I'm not that picky, mine have worked fine so far, although I have occasionally had a difficult one.
"The process of heat treating (annealing) rivets is much the same as that for stock. Either an electric air furnace, a salt bath, or a hot oil bath is needed. The heat treating range, depending on the alloy, is 625? F to 950? F. For convenient handling, rivets are heated in a tray or a wire basket. They are quenched in cold water (70? F) immediately after heat treating. "