Usually it is the other way around the Female (the bigger one) won't let the Male (smaller one) in the anemone. Since they are new, I would let them work it out... I assume they are not a mated pair prior to being in your tank so they have to work out the "ground rules" just like any of us do when we move in with a new chick. "Ummm, no you can not leave your toothbrush here!" "You left the seat up and I fell in the toilet in the middle of the night!" You know, the normal things.
If they are not physically hurting eachother, I would let them see how they work things out. (Or take the anemone away, let them work it out where they do not have anything to fight over, and then put the anemone back.