This paper addresses short-length sparse superposition codes (SSCs) over the additive white Gaussian noise channel. Damped approximate message-passing (AMP) is used to decode short SSCs with zero-mean independent and identically distributed Gaussian dictionaries. To design damping factors in AMP via deep learning, this paper constructs deep-unfolded damped AMP decoding networks. An annealing method for deep learning is proposed for designing nearly optimal damping factors with high probability. In annealing, damping factors are first optimized via deep learning in the low signal-to-noise ratio (SNR) regime. Then, the obtained damping factors are set to the initial values in stochastic gradient descent, which optimizes damping factors for slightly larger SNR. Repeating this annealing process designs damping factors in the high SNR regime. Numerical simulations show that annealing mitigates fluctuation in learned damping factors and outperforms exhaustive search based on an iteration-independent damping factor.