Next time you are in a LFS, pick up the Marine Fishes Guide and look at them. Several are rated easier than others. I think the Lyretail, Bartletts, Red Cheek, and Tri Colors are easier. So far I am keeping Lyretail and square anthias without much problem.
I think the real trick to anthias is getting good specimens. When a store gets them in, I suggest you maybe get them to hold them for you, but dont pick them up until they are eating and in the store for a couple weeks.
Also, i had better luck with a very short acclimation. SOme I dripped for 60 minutes, some I just temp acclmated for 15 minutes. The 15 minute temp specimens all lived, teh drip acclimated ones did much more poorly. I saw on Meleev's site the same result, and he guessed that the anthias just run out of O2 too quicky for a long drip acclimation.