Have never dived in Anguilla - only snorkeled there when I visited several times as day or overnight trips from St. Maarten. The island is beautiful and the beaches are gorgeous. I'm replying to your inquiry on luggage.
Two things to think about: I believe that only prop planes fly into Anguilla unless American Eagle uses regional jets from San Juan to Anguilla. So you may want to check on luggage allowance on these smaller planes.
Second, if you have a change of planes in San Juan, I've often read in other forums that there is a fairly high incidence rate of dive gear "walking away" while transiting thru there. I've have not yet been victimized to date, knock on wood, but that could either be dumb luck or the fact that I use ordinary looking rolling duffles as opposed to Pelicans, which most people might associate with diving.
I suppose that you could avoid San Juan by flying into St. Maarten and then ferrying across, but you'll have to weigh the pros and cons as far as time and money.
