This is one of my favorite stories! I have provided a link for you to a biography of O. Henry, who led a very interesting life. You will notice that many of his stories were written while he was in prison. Since the story concerns a crime, that is a connection you might want to make in annotating the story. Another aspect that you might to discuss is to what degree the child in the story is part of the "bad boy" trend in American culture, a trend that runs back to Huckleberry Finn and forward to Dennis the Menace and the movie Home Alone. Was O. Henry a "bad boy"? You might also want to discuss the American in which O. Henry lived, with a sharp split between rural and urban people, a theme that is part of the story. What were the times like economically in the late 19th century and the early 20th century, which was the era of the story? Without knowing the full details of your assignment, it seems as though looking at the era in which O. Henry lived could be part of your annotations, too.