Dan,
Stuart is essentially right about the need for annealing in your application. The original suggestion was probably about the fact that bending steel is a form of work-hardening. Cold-rolled steel is already work-hardened from the rolling process and further working can increase this hardness and make it more brittle. Annealing a work-hardened steel is a good idea to reduce this brittleness. Cold rolled steel is a plain carbon steel and is easy to anneal as Stuart already described-heat it good and hot and let it cool slowly. It then becomes soft and workable again.