There are a few options. One I like was suggested here long time ago. You take one of the anode caps and grind off all the threads so that you can screw it onto the anode without the sides of the cap contacting the anode well's threads. Then try to talk the anode into releasing its grip by tapping on the end of the modified cap and twisting it a bit.
I have a rather large anode in my intercooler which gave me heck one time. After I fished it out, I elected to use a smaller anode seated in a bushing threaded into the anode well. If the anode gets struck when I try to remove it on my 90-day inspection routine, I just unscrew the whole bushing, anode and all. I don't worry about the another being a bit smaller than the original because it is replaced frequently, and the area it sits in is always dry when the engine is shut down.