It is important for the efficiency of superconductor utilization to minimize winding volume of superconducting magnets. In order to reduce the winding volume, high-field superconducting magnets are usually subdivided into a number of coaxial coils. In this paper, we propose an optimal design method using a modified Simulated Annealing technique, which is newly developed, to realize the minimum winding volume design for multi-section superconducting magnets. The details of the algorithm and several examples of its application to three-section superconducting magnets are shown.