I picked this up from my brother, who learned it from a guide on the Colorado River: Cut the tail and head off the anchovy. Slice it down the middle (length wise) into two halves. Clean out the guts and bones. Voila, a filleted anchovy! Sounds like a hassle and all, but he showed it to some guys whose boat he was tied onto and they finally started catching. We fished it on 4# and 6# test line.
It is a little fishing secret, so don't tell everybody.
(Can't seem to work the smilies!)