I use a all chain and for a snubber a 3/4" nylon line with a heavy rubber snubber to absorb shock. When I set the anchor I wait until the bow point to windward or where the anchor is set (when there is no odd currents). Normally the wind will blow the bow off if I am not making way... when the anchor sets it pulls the bow to windward. This is the first sign the hook has set.
Next I take the snubber line, already cleated off to one of the bow cleats and hook the chain hook on the chain and let out more chain. This pulls the snubber line with the rubber snubber over the bow robber. I let out enough chain so that the load is now taken by the nylon snubber line. The excess chain drops into the water. Both the chain and the snubber of being led over the bow roller. I usually lift the now slack chain to the side.
To achieve a fail lead on the snubber I run it around the drum of my vertical windlass similar to the set up in the post above.
There is no chafe on the snubber line as there is when you use a bridle and the boat shears about through the eye of the wind... which mine tends to due (though lessened by a riding sail). I also have a stainless stem fitting with some bolt heats which can chafe a line pulling across the bow.
To retrieve the anchor I simple use the windlass and it pulls the chain hook of the snubber right over the roller. I stop the windlass and unhook the chain hook and snubber and continue retrieving the chain.
I have been very successful with this approach on my boat.
One interesting aspect of the rubber snubber is that is a clear telltale that the hook is set. As the pressure on the rode increase you can see the rubber lengthen. If the hook is dragging the rubber snubber will not elongate as there is not enough force on the slipping anchor rode