I make .400 Cor-Bon from .45 acp brass all the time, and I've made 9x25 Dillon brass from 10mm brass. New brass works best, before it gets work hardened. In both calibers, I'm just necking the parent case down to the proper diameter and adding a shoulder.
As for annealing, it's basically heating the area you intend to soften and then quenching in water. With rifle cases, you deprime, set them in water deep enough to cover the part you don't want to soften, then heat with a torch and tip them over in the water to quench.
Hope this helps.
Fred