Yes and you may have to anneal it several times during the process as it work hardens with every hammer blow and every pass under the wheel. Malleability for making it easier to work with is one reason, another is to keep it from splitting and tearing especially when you trying to 'dish' it with a mallet or planishing hammer. A planishing setup ie.
http://www.princessauto.com/en/detail/planishing-hammer/A-p8536849e can be just as useful in the right hands as an english wheel and more controlled way of dishing material. Each have their strengths.
Ron's DVD's are available from other sources too. He shows some common techniques on annealing which is generally described in other sources. Ron also authors and co-authors some books you may find in your local library that is equally informative.