The tape will be wrapped clockwise in relation to the male threads when looking at the end of the male threads (counter clockwise on the threads in relation to the hole it is threading into).
You want it wrapped so that as you turn the fitting into the mating hole the tape will not try to unwrap as you start to thread it.
Easiest way is to hold the anode rod portion in the left hand and wrap the tape over the top towards your body and then around under the threads away from your body then back over the top and around again.