According to Steel's volume on Seamanship [1794] the correct procedure for coming to anchor is to let go the anchor then come into the wind [bow facing the wind], which allows the anchor to dig a hold into the bottom, letting out scope [anchor cable] sufficient to maintain an angle which will not pull the anchor out of the seabed. This is tested by backing down under sail to make sure the anchor is well set. [That's a précis of the process he presents.

PS, volume I of this tome is Masting and Rigging. The books were published as a guide to young officers.