I bought some Lapua brass and the necks and shoulders look like they have been heat treated. What is the purpose of that? Will I need to re-heat these after firing a few times?

bigguns45,
That "bluing" color if from them, Lapua, doing a final neck annealing. The reason for this is to relax the brass that has been work hardened during production.
As far as doing it again, be very very careful doing this!!!!!!!!!! There are a few places,http://www.6mmbr.com/annealing.htmlandhttp://www.varmintal.com/arelo.htm and some more if you do web searchs.
This may need to be done if you really work the brass a lot. By that, if you have a large chamber and the full length size and run heavy loads. If you want to use the brass many times you may want to look into this.
I have not done this yet, and I know many people that don't but there are others that do it (benchrest) after every firing.
I have split necks more than once on more than one rifle so I think I should be doing it but I am a little weery of not getting it quite right. One thing that cut back on split necks was to neck size only. This also helped to cut WAY down on trimming too.

Smedley

Lapua brass iss annealed at the factory and has the typical appearance of brass that has been annealed. All factory brass is annealed but some companies polish the patina off before sales. you will see this same appearanc on Hornady brass. Brass is annealed to make it more malleable and to prevent it from cracking due to premature work hardening. Don't worry about Lapua, it is some of the best brass made.

Geronimo

The necks are annealed. Many people choose to anneal their brass every 3-5 firings. After firing and sizing your brass it work hardens and creates uneven neck tension. I've tried annealing with a torch a few times. It seems to me that without buying an expensive annealing machine I wouldn't be able to get consistent results from case to case. You can buy those tempilac pens to get an idea of what temperature you have reached when heating them, but annealing requires that a very specific temperature be reached. You can easily overheat it and ruin the case or slightly underheat it and you've accomplished nothing.As of right now I'm am not seeing the need for it. Some of my 308 lapua is on its 14-16 firing without annealing and groups are still excellent. I probably wouldn't mess with it unless you are shooting competitively.

I have annealed using the Hornady kit and it works quite well. I even had a friend who owns a tool and die shop make me a holder for nitro express rounds.

Geronimo

I slightly disagree with Geronimo. It is not SOME of the best in the world. It is THE VERY BEST brass in the world. I say this regarding varmint and target cartridge brass anyway.

Lapua is very good brass, though I did get a batch of 9.3x62 brass that had a couple of overly deep primer pockets which caused two mis-fires.

The best brass is probably RWS, but in general Lapua is a very close second, and Norma is good too, though I've had some difficulties with it ttoo lately (brittle case necks)...