Usually, you’d use Kanthal wire to create heating elements. Normally, as supplied, it’s 3/4 or full hard, which males it brittle and easy to break. In addition, it cold works quickly.
Annealing would require heating it to 1700° to 1800°F in a reducing atmosphere (hydrogen or dissociated ammonia) to keep it from oxidizing(rusting) too much.
It’s best not coil unannealed Kanthal into heating elements because there is too much stress, and more opportunities for it to fail after a few cycles. Usually Kanthal heating elements are long runs of wire supported by mica or ceramic with 180° bends at the ends. If I were to work it into shapes, I’d try attaching leads from a Variac (alligator clips, or bolts) over a 1 inch distance, bring it up to temperature slowly with the Variac, and bend it when it’s just beyond red (orange). Doing this on a charcoal block may help make the bend clean (non-oxidized). BTW, don’t electrocute yourself with the Variac, take safety precautions, etc.