Your cases will last longer because you are not work hardening the brass by sizing and firing it. The annealing retuns the malleability to the brass. But another good reason to anneal is that it gives you a more accurate load by making your neck tension more consistent.
Google annealing and you will get several different ways of doing it.
But the most important thing is not to get your brass too hot. And you do not need to water quench the brass at the end of the process. The reason most people put their cases in water is so they can assure themselves that they did not get the web of the brass too hot. You don't want the lower part of your brass to weaken by getting too hot. Tom.