Formed some 375 Weatherby brass from the Hornady basic brass. The last .040 or so of the neck is pretty rough looking. Anybody else experience this when necking down or forming brass?

might have to anneal the necks a little

Before forming? I don't see how annealing would solve the problem?

annealing will soften the necks a bit making them form a bit easier

I'd be supprised if new brass wasn't already annealed. Maybe the complicated shoulder of Weatherby stuff doesn't help, but if it fits in the chamber OK then the first fireing should fix them up. You wouldn't want Weatherby brass too soft as it's not hard to collapse the shoulder. And NO, I haven't done it.

Sounds like a lot of small lube dents.
Try forming in about 3 steps. Wipe the excess lube off at the shoulder between steps. As you form the neck of the die pushed the lube back and traps it at the shoulder.