There is an increasing interest in accurate dark matter relic density predictions, which requires next-to-leading order (NLO) calculations. The method applied up to now uses zero-temperature NLO calculations of annihilation cross sections in the standard Boltzmann equation for freeze-out, and is conceptually problematic, since it ignores the finite-temperature infrared (IR) divergences from soft and collinear radiation and virtual effects. We address this problem systematically by starting from non-equilibrium quantum field theory, and demonstrate on a realistic model that soft and collinear temperaturedependent divergences cancel in the collision term. Our analysis provides justification for the use of the freeze-out equation in its conventional form and determines the leading finite-temperature correction to the annihilation cross section. This turns out to have a remarkably simple structure.