1. Your main anchor should be able to hold your boat securely up to gale-force conditions, including wind shifts of up to 360 degrees. I recommend one of the new-generation anchors like Mantus, Rocna, Manson Supreme, and Spade. The rule of thumb that works is to go with a steel anchor that weighs about one pound for every foot of boat length, and go up one size if in doubt: a 35-pound anchor for a 35-foot boat, or a 45-pound anchor for a 40-foot boat.
2. All of the anchor rode touching the bottom should be chain, backed up by nylon for those times when you have to anchor in extra deep water. Final scope with chain should typically be five times the water depth + the height of the bow over the water. Height of bow = 5 feet, water depth = 15 feet, that adds up to 20 x 5 = 100 feet of rode. In most of New England having 100 feet of chain means you are usually on all chain, but have 200 feet of nylon backing it up in case you need more length.
3. Lower anchor gradually to bottom until it touches, then pay out chain slowly as the boat drifts back with the wind. Do not drop the anchor to the bottom followed by a pile of chain on top. This is known as the "dogpile" method of anchoring, for good reason. As the boat drifts back, periodically snub the chain so the anchor digs in and the chain straightens out. When you have laid out the proper scope add an anchor snubber of light nylon line totaling about 15-20 feet from the bow roller, with enough line to securely cleat it on deck. You want to adjust this line so there is an arc in the chain and all the tension is on the nylon. This dampens the strain on the anchor chain, windlass, and deck fittings. Also makes things quieter.
4. Once all is deployed, put engine in reverse and gradually increase rpms as anchor digs into position. You should feel a nice solid jerk and the bow should straighten out when you pull tight on the chain. Do a couple of bounces back hard on the anchor chain to make sure the anchor is well dug in. If the anchor is not well dug in things will feel squishy as you back down, you may be able to detect that the boat is going backwards, and often the bow will not swing into a straight line from the anchor. Reset the anchor if it doesn't feel solid!
5. Always have a second anchor ready to go quickly if needed. Your main anchor shouldn't drag if it is set properly, but a midnight wind shift can change everything. Even a well dug in anchor can pop out in a severe squall with a major windshift. A lightweight Fortress anchor makes an ideal secondary hook that can be more easily taken out in a dinghy if needed. Do this if a big blow is expected even if you believe the main anchor is well dug in and well placed. The second anchor is your insurance policy.
6. Bonus tip. Prepare a glass of favorite evening beverage and sit in cockpit admiring the view knowing you are secure for the night.