Do you have 'Inshore along the Dorset coast' by Peter Bruce? He details where you can pitch up just beyond Swanage and investigage the stone quarries. He says that you need v. calm conditions, some of the quarries have ring bolts where you can lead a line to.
There, I can give you a serious answer if I try.
There is tumbledown rock very close inshore - a few yards. Offshore is a lot of smooth flat rock. No good for anchors. We have dived it many times and would not try to anchor there. As alant says go to Swanage bay if you want to anchor.