Is it possible to make a rivet from drill rod?

Long story short: I need a steel rivet in a weird diameter (#32 wire gauge which is slightly less than 3mm). I'm not going to pay $20 + shipping for a weird custom order rivet. However, I happen to have HSS (high speed steel) drill rod in that exact diameter. Is it possible for me to anneal it in order to make it soft enough to peen? Its soft enough for my cheap files to bite but I know that drill shank can be brittle.