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Some stresses locked into parts are undesirable. These are called "residue tensile stresses". But some stresses are desirable and help strengthen parts. These are called "surface compressive stress". Shot peening is a method of adding surface compressive stress to a part.
Many engine parts are strengthened by shot peening. Hard, round material is blasted at your part causing the metal to compress. The compression is "locked-into" the part. Compression counteracts operating stresses and makes the part stronger. It also makes it more corrosion resistant.

The Continental connecting rod shown below shows what a shot peened surface looks like. Crankshafts, connecting rods, nearly all springs are shot peened.
shot peen Continental connecting rod
Shops that advertise "stress relief" are playing amateur metallurgist. Please don't change the metallurgy on my parts! Leave it as designed. Typically such advertising is pure bunk but occasionally a shop actually tries to "relieve stress" by heating the parts. If their process is successful they have weakened every shot peened part in the engine.
What is the maximum safe temperature for a shot peened part? The historical document for shot peening is MIL-S-13165C. The chart below is from this mil-spec:

 Material

 Steel Parts
 Stainless Steel
 Aluminum Alloy
 Magnesium
 Titanium
 Nickel Alloys

 
     Maximum Temperature F.

475
750
200
200
600
1,000
These temperatures appear to be very conservative and there could be some debate on the actual temperature, but the idea that shot peened parts should not be overly heated is important. Avoid any unnecessary heating of shot peened parts as it might relax the beneficial compressive stress achieved thru shot peening.
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Stress Relief is simply controlled creep. It's the same as unbuckling your belt, your body shape changes (controlled creep) as the locked in stress from the belt is removed. The big question after any stress relief: Is the geometry change acceptable?