I have used music wire for model helicopter flybars and threaded the ends with a die. I just heated up the tips red hot with a propane torch and did my best to let it cool as slow as I could. I think a lot of the strength in the music wire is from the drawing work hardening stresses. Note that even after my method of annealing, the music wire still didn't thread real easily. You could try heating the end to cherry red and then placing the wire in a preheated oven to help it cool slowly, maybe even preheat the wire to help it cool more slowly.
RogerN