I figured out how to do this.

If you get an anonymous call, you can select it in the call history and select to send it to voicemail. It creates a rule that has Call From: anonym Send To: Voicemail.

I also tried creating this rule by putting anonym in a new rule as the "number". This also appears to work.

Now all my anonymous calls go to voicemail, but if I want to take them, I just delete the rule.

Dan