The capture of dark matter, and its subsequent annihilation, can heat old, isolated neutron stars. In order for kinetic heating to be achieved, the captured dark matter must undergo sufficient scattering to deposit its kinetic energy in the star. We find that this energy deposit typically occurs quickly, for most of the relevant parameter space. In order for appreciable annihilation heating to also be achieved, the dark matter must reach a state of capture-annihilation equilibrium in the star. We show that this can be fulfilled for all types of dark matter-baryon interactions. This includes cases where the scattering or annihilation cross sections are momentum or velocity suppressed in the non-relativistic limit. Importantly, we find that capture-annihilation equilibrium, and hence maximal annihilation heating, can be achieved without complete thermalization of the captured dark matter. For scattering cross sections that saturate the capture rate, we find that capture-annihilation equilibrium is typically reached on a timescale of less than 1 year for vector interactions and 104 years for scalar interactions.