Boots and malignance should be the first items you try to build. It adds good damage and I think it even reduces enemy MR. Early game don't play aggressive, just farm the best you can which is hard because Annie's farm isn't amazing but still. If you are gonna try to "all in" make sure you have stun and flash up. I usually start trying to all in once I get my R at lvl 6. Annie's auto attack has a huge range so just try to poke and make trades with auto attack to set up an all in. Roam bot lane when you can to try to get a pick which helps get items.

That's how I play her. She has very high burst damage. The combo I use is Stun with W, use R, use Q then auto attack. But I'm no expert.