There are 5 settings. Hit W or S keys to toggle through them. There is also an indicator on the right hand side of the screen when you are actively driving a boat telling you what "gear" the boat is in and what direction the wind is blowing. To stop make sure there are no up or down arrows indicating direction on the indicator:

Backwards
Stop <---leave it on this one and it won't move
Forward 1 (paddling)
Forward 2 (half mast)
Forward 3 (full sail)

I've explored entire islands and the boat doesn't move unless something bumps it.

Note: boats don't stop on a dime so going from full speed to stop will still result in a lot of drifting. You can either slow down before you get to your landing spot and it will drift less. Or, you can ram the front end into the shore which causes damage but accomplishes the same thing.

Maybe anchors will show up in the 3rd update but honestly, it's just a visual as the mechanic is already there.