Bloody uncomfortable. Either anchor somewhere sheltered or do as Catamount says and keep moving. If you mean do you anchor out in the ocean , well that just sounds silly to me but maybe your ocean is more benign (and shallower) than mine.
One of my favourite things is to set sail around dusk, head straight out into the rising full moon. Keep sailing till midnight then turn around and sail home. Preferably reaching all the way of course and it helps if you are on the east coast.