If you can hear your anchor dragging on the rocks, it isn't set. Try:
1) Let out more rode. You should have 3 times the depth out, as a rule of thumb.
2) Back up slower, your anchor needs time to dig in.
3) Find a better place. Sometimes your anchor can't get through the rocks.
4) Get a different anchor. Flat fluke anchors are best in sand, plow or claws work better in rocks.
5) Get some chain. Chain helps pretty much all anchoring.
Setting the rear anchor, in shallow, warm water just jump out and set it with your feet.
In deep water, set the front securely. Then let a ton more line out on the front, backing all the way back past where you want the rear anchor to be. Drop the rear and pull in the front. Drop some rear line and then set the rear as you pull in the front.
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