Carefully clean out the hole with a pipe cleaning wire brush enough to make the metal shine. Then use alcohol to remove residue. Perfectly clean in other words.
Smear an ever-so-light coating of grease onto the threads of the brand new anode. Be careful and take your time. The coating has to be a thin film.
Next, mix up a batch of JB WELD. Enough to coat the anode with a good glob.
Slide the anode into the damaged hole.
Revolve the anode one quarter turn but no more than that.
Let it sit overnight.
If you did an outstanding job shining up the water heater hole to perfection this works like a champ.