A few points, in no particular order:
Yellow tangs are reasonably hardy, and chalk basses are
very hardy (and a group of three or four of them is great)... but neither will do well if you keep them in a tank of cycling live rock. Even worse, if you go ahead and add rocks in increments, the situation for them will not improve.
I'm not going to tell you to take the fish back. That
would be the easiest thing to do, to take them back, make all of your live rock purchases at once, let the tank with just the rock in it cure for a few weeks to a month, and you'd be good to go. If you don't want to take them back, your best alternative is to get yourself a container (a small aquarium or a good sized rubbermaid container) and set up to cure any new rock you purchase in that. For that you'll need a heater for the curing tank, a small powerhead for providing circulation and patience for a few weeks
I absolutely consider a 40g too small for a tang, any tang -- but I will not preach to you on the subject.
Once the nitrite and ammonia readings in your main tank reach zero, you can slowly stock the tank. If you end up curing new rock in a seperate container, once nitrite and ammonia levels in that container reach zero, you can add the rock to your main tank. Make livestock additions slowly in either case.
Transporting live rock submerged in water is great if it's already been cured. If it isn't fully cured, transporting submerged doesn't make much difference. If it's fully cured and you transport it damp, it will go through a mini-cycle afterwards. This is definitely best not inflicted on fish, so again, either do it outside the main tank, or only in the main tank if you end up with no livestock in there.
Liverock, btw, is often -much- cheaper if purchased on line, even after you factor in shipping costs. $2/lb when bought in box lots is about what you'd pay before shipping.
Anemones are difficult. I urge you to thoroughly research them before going forward and purchasing one. They
can be kept, but they have their own needs, are demanding, have extremely high mortality rates (and their collection has a very real impact in nature), and a dead anemone in a tank can be a disaster. I don't tell you not to get one, but I do tell you to learn what you're getting into before you make the decision. Looking at your tank specs in another thread, I'd also add that your lighting is a bit weak for host anemones. Possibly a bubble tip would be fine with it, but it's less then I'd be comfortable with.
The best thing you can do for yourself right now is read. Right now, you have your LFS telling you one thing and the people on the boards telling you another. If you inform yourself with a few good (by which I mean to say modern and up to date) books, you'll have a context to place everything you're being told in.
