Im confused and probalby have a thinking error.
Exercise 6 on page 420 of Lam's "Lectures on Modules and Rings" says the following:

 Let $R$ be a ring and $C$ a cyclic right $R$-module: $C=R/A$ with some right ideal $A$ in R. Let $(-)^{*}$ denote the functor $Hom_R(-,R)$.
Then $C^{*} \cong ann_l(A)$ as right R-modules.

I would think that this is correct.

Specialising to a $A=J$ being the Jacobson radical this gives:
$C^{*} \cong ann_l(J) \cong soc(R)$ as the left annihilator of the Jacobson radical is the socle of the algebra (see Lemma 8.3. of the book by Landrock). So exercise 6 tells us that taking duals of simple modules gives again simple modules. In particular, the double dual of a simple module should again be the direct sum of simple modules ?! 
Now take $R$ to be a local non-selfinjective algebra and $C=R/J$ (which is the unique right simple $R$-module). Let $S$ be the simple left $R$-module.
Then we get $C^{*} \cong soc(R) \cong \bigoplus\limits_{k=1}^{n}{S}$ for some $n$. 
Then we get doing the same again, $C^{**} \cong \bigoplus\limits_{k=1}^{m}{C}$ for some $m$. But taking for example the algebra $R=K<x,y>/(x^2,y^2,xy)$, my computer tells me that $C^{**}$ is not semisimple and has an indecomposable direct summand of dimension 2.

I do not see the mistake at the moment, so maybe lemma 8.3. in the book of Landrock might be wrong?