If it is windy...tie the reef in the main before you leave the dock or pick up the hook. It is easier to take a reef out...than to put it in.
You will not always lay straight down wind of your anchor...especially in areas with tidal and current flow. Nevertheless,,,you should get your anchor to set easily and it should not drag. What type and size anchor are you using and how much chain is on it and how much line were you letting out in what depth water?
Congrats on making it back...it keeps getting better!