How do you saute anchovies in a flavor base? Once in a while an Italian recipe asks for dissolving a couple anchovy filets in the oil before adding other veggies.

Should you chop your anchovies before, or break them in the oil? Also what degree should the oil be in? I feel like I always burn my anchovies.
You can both chop or not chop the anchovies. 

I do not: I just crush them in the pan, and thus do not have to clean up anchovy oil from my cutting board.

I usually use anchovies like that in combination with garlic or onion, so the heat is never high enough to burn anything.  If your anchovies get burnt, lower the heat.