I went through this a couple of months ago. They didn't make this process easy on these cars!
This thread has some additional info and advice people gave me before I did it:
Heat Exchanger InstallI did anneal the gaskets. I used a propane torch, got 'em sort of red, and then dunked them in a glass of water. You can tell when it's annealed because when you drop them on the table they make a dull "clunk" noise instead of a ringing noise.
I found the hardest part during the actual install was keeping the gasket positioned correctly on top of the HE as I was trying to fit the HE onto the studs. Use a flash light and try to ensure you can see gasket on each side of the HE when it's in place. I used some sticky copper sealing stuff that was recommended by someone. It kept the gaskets in place somewhat during this process. I also found it helped to have a 1/4 socket and wobble / flexible extension.
When all was said and done the install went decently well. For my first time I think it turned out reasonably well thanks to the advice I got.
Good luck.