Even anthias of the same species don't really school in tanks. They mostly form loose shoals.
As far as mixing species, yes it can be done. The larger the tank you have, the better it seems. Add the least aggressive anthias first, then the more aggressive.
Some things to keep in mind, other then a few 'main stream' anthias, most the of species in this genus are very fragile and don't do well in captivity. Second, the specialized needs of anthias, mainly the heavy and frequent feeding requirements. These guys need fed at least 3x a day. And because of this, make sure your tank can support them. 4 anthias would need at least a 100gal tank.