Your male needs to be well established in order to get a good harem going.
I would recommend getting just one female as your next anthias. Let them sort out who will be male in the tank. After a true male arises, slowly put in females. To avoid to much collateral damage, I would recommend the newer female being much much smaller.
From multiple experiences in trying to build solid harems, the dominant fish, must hold control over most of the territory and must be interested in harem development. If you start with a male and let him become well established in the tank, you can usually add females in a few weeks. However, if you start with a female, you will need to let a male truly develop first before continuing which could take a couple months and then start adding more females.