I think there's a plastic mesh you can get from craft stores. I've also heard of people using pantyhose. If you google "Karen's rose anemones" she gives instructions on covering powerheads.
Whatever you end up using, it would be safest to keep your powerheads covered 24/7, even after the nem settles in. If the nem decides to go walkabout (which they do sometimes, when they're about to split, for example) you don't want it to go into a PH--and they seem irresistibly drawn to them!