Jim,
Depends on the rock and the size of the anemone's foot. They REALLY want their foot protected, so a "Cave" of sorts, (not going entirely through the rock), is the best. However, on thin rocks, where you almost have to go through, you could stack the one with a hole, against another without hole. Remember, if it is a little deep, they will always stretch their foot to "crown" into the light. Better deeper than too shallow.
Gwen.. I have to find the piccies.

I had ALL of this on a site I used to frequent/help out called Reef Freaks. When they went away, so did my pics. I have volumes of images on CD at home. I'll look for them.
D