Koch Lab:Protocols/Oligonucleotide Annealing/Hairpins
The annealing in this case is fundamentally different that when you have two complementary oligos. What you want to do is heat the oligo to close to boiling after diluting to usable concentration, and then quick-chill on ice. This will minimize cross-hyrbridization.
For long hairpins, there may be trouble with stable intermediate structures...so heating to an intermediate temperature may be necessary.