We did it a couple of years ago and had a great time. Note that there is a customs/immigration form that you should fill out online and bring with you (along with your passport), as it will make the arrival process much faster at the ferry terminal. I don't know if that's changed, so check online before going. The departure process from Marigot can only be described as chaotic and appeared to be designed to be as inefficient as possible.
We rented scooters to get around Anguilla. If you rent a car or scooter, be aware that driving is on the left side of the road, and you have to buy a temporary driver's license which the rental company will arrange.
We found the people on Anguilla to be quite nice and welcoming. We visited several beach clubs and bars, and had lunch at a beachside restaurant. The island has a very different vibe compared to SXM, and it seemed more expensive than SXM, but it was well worth a day visit to explore. The roads were not nearly as crowded as SXM, and the island is obviously not as hilly, so it's pretty easy to get around without getting lost.
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