The commonly accepted practice to anchor requires a motor. The typical plan is to drop the anchor and then back down on the anchor with your motor. As the thrust from the propeller pulls your yacht backwards, the anchor will be buried into the seabed and hold you from drifting back. When you come to a stop, you know the anchor is well set and secure for the night.
If you are sailing, there is no motor involved in reversing to backdown on the anchor, so you can't really backdown on the anchor to know that it has set! This means that you would drop the anchor and wait for the wind to blow you back. As you are pushed back, the anchor will set (or drag). If your anchor will set, then all is fine, but if your anchor will drag, then you will slowly (or quickly) drift back.
To avoid this dilemma of not knowing if the anchor will set or drag when the wind picks up, there is a trick that still doesn't require the motor!
When sailing into your anchorage, simply drop the sails and continue to drift along with speed. While you are still moving at around 2 to 3 knots, drop the anchor and at least 5:1 scope based on the water depth. The boat will continue to drift forward as the anchor rests on the seabed.
When the yacht covers the distance of the anchor rode, the chain will become tight and start to pull on the anchor with a considerable force. This will jerk the anchor horizontally along the seabed and bury it into the substrate.
If the anchor drags, the yacht will continue to move forward until the anchor sets (hopefully). When the anchor sets, it will be very apparent because the bow will stop in its tracks and the entire yacht will spin around with some speed. This is why it is important to not do this at speeds greater than 3 knots because the force on the chain could be a bit too dramatic.
When the boat spins around, the anchor is set, and you can then let out additional chain should you desire; all while knowing that your anchor is firmly set into the seabed!