Following the Microsoft guidance article it suggests Site Actions -> Users and Permissions -> Advanced Permisions -> Settings and then click on Anonymous access, however the option just wasnt there !
Further investigation reminded me I needed to make sure that my "authentication providers" needs to be set to support anonymous as otherwise its not an option to choose in menu above. To set this up go to Web Application Management -> Application Security -> Authentication Provider, choose the Zone you wish to edit and then make sure "enable anonymous access" is checked and save this setting.
Now go back to the first stage on the Advanced Permissions -> Settings drop down and voila, you can set anonymous for site, list level or none as you require.