Annotation of programs using embedded Domain-Specific Languages (embedded DSLs), such as the program annotation facility for the Java programming language, is a well-known practice in computer science. In this paper we argue for and propose a specialized approach for the usage of embedded Domain-Specific Modelling Languages (embedded DSMLs) in Model-Driven Engineering (MDE) processes that in particular supports automated many-step model transformation chains. It can happen that information defined at some point, using an embedded DSML, is not required in the next immediate transformation step, but in a later one. We propose a new approach of model annotation enabling flexible many-step transformation chains. The approach utilizes a combination of embedded DSMLs, trace models and a megamodel. We demonstrate our approach based on an example MDE process and an industrial case study.