Oh, yes, please do anneal it first! Dull red, and quench in water. Heat travels in silver like lightning, so use pliers to hold the wire, even if the piece is fairly long.
You can make a block of steel with a hole and a countersink. Drop a piece of wire in the hole that's just a tad longer than the hole, and hammer it down to fill the countersink. File off any extra, and push the rivet out from the other side. You might even want to anneal the rivets after forming.