I am not an anarchist but I will write an answer to this.
Number one, due to the state of the society we live in right now it is in our best interests to follow laws. Or at least break them discretely, nobody wants jail time...Now, many people don't do this, and I completely respect that. Steal from that Walmart, maybe we'll bankrupt them!
Number two, stopping at a red light is a safety concern. Traffic lights and other signs are in place to make transportation safer and easier, and anarchists are people that want to harm other proletarians the least. Not stopping at a red light can lead to accidents. Usually fatal ones, too, due to the fact people tend to drive fast. It is but a few seconds of waiting at the traffic light that could save someone's life.
TL;DR Anarchists do stop at red lights, but due to safety concerns, not due to the fact they enjoy following the law.