Have had a few plants now for a number of years, but they have never spread
It may be that you are just outside of the upper end of their hardiness zone. They are hardy to our USDA zone 8, where much of your area seems to be in USDA zone 9.
This could cause slower growth. You can try taking a soil test. This will identify any pH issues or nutrient imbalances to rule them out. If correction is necessary, then this may help to give them the conditions to help spread.
https://www.gardeningknowhow.com/garden-how-to/soil-fertilizers/soil-ph-plants.htm
https://www.gardeningknowhow.com/garden-how-to/soil-fertilizers/testing-soil.htm
This is the first year I've plant Anenomes. Now they've come to the end of the flowering season, do I dig the bulbs up, or leave them to die off on there own?
There are different types of anemones, but generally you can leave them in the ground and they should return after a dormant period. Here is more:
https://www.gardeningknowhow.com/ornamental/bulbs/anemone/anemone-windflower.htm
https://www.gardeningknowhow.com/ornamental/bulbs/anemone/types-of-anemone-plants.htm
https://www.gardeningknowhow.com/ornamental/bulbs/anemone/grecian-windflower-growing.htm
I have tried multiple times but to no avail. Not even the slightest shoot. I'm sad.
They need to be planted in rich, well-draining soil in full to part sun. They are only hardy to zone 5, so try mulching well after planting. If you are following planting instructions, I would look to the bulb quality. Were they purchased from a reputable garden retailer? I might be leery if they were purchased late in the season on clearance. Also, some animals dig up bulbs. Check the soil and see if they are still there. Also, weather conditions may have caused the bulbs to rot.
Here is more:
https://www.gardeningknowhow.com/ornamental/bulbs/anemone/grecian-windflower-growing.htm
https://www.canr.msu.edu/news/where-are-my-bulbs-why-aren-t-they-flowering