The Anchor Sail is an intreguing idea. I've never used one but when I saw while browsing at Sailrite, I became very interested. The concept seems to make sense. I've started building one but it's not done yet.
The idea is to place a small, triangular sail at the aft end of the the boom. It is tied down at the clue and tack ends to the boom. You would use the main or spinnaker halyard to hold up the head. You hank down the main sheet to hold the boom steady. That's it. In theory the wind blows the small sail such that the bow is to windward, keeping the boat down wind to it's anchor(s).
You can buy one from Sailrite finished or in kit form.
I purchased (2) Jib Snaps for the Anchor Riding Sail from Mike's Marine Supply.
More info coming as this project progresses.