Would be best to wait for someone to come along who has done it but yes I'm pretty sure that's the proper procedure. It is basically just an improved version of the H&H round not unlike the AI rounds from Ackley I believe. For them annealing is not normally required and I doubt it will be for the Weatherby round but it never hurts if done properly and can result in longer case life.
The belt provides the headspace for the fire forming much as a rim does on rimmed cases. It's not the best place to headspace off but that is what it was designed for in the H&H case.
