I was told as well to add an anemone first, let it find it's "home" (knowing of course it can and may move) but really, it makes sense that if it wants to move it will, so in theory I guess it makes sense to add first, but knowing it will ultimately do what it wants.
Also, since most of the time anemones stay on the bottom and not the rocks, and the corals for the most part are opposite, it may not matter...however, there is another thread running about someones anemone stinging a coral...sorry i dont knwo the thread name (could be anemone stung my coral?) lol....but look for it.