In a small bowl, combine the yeast and sugar with the warm water and let stand until foamy, 5 to 10 minutes.
In a large bowl, combine the salt, garlic, oregano, crushed red pepper, and 2 cups of the flour. Add the yeast mixture and stir to combine well. Add 1 cup of the remaining flour and work the dough with your hands to form a smooth, wet dough. Add the cheeses and work into the dough. Add the remaining flour in 1/2 cup increments, working with your hands to form a manageable dough that is slightly wet but yet dry enough that it does not stick to your fingers. You may not need all of the flour. Knead the dough until smooth, about 3 minutes.
Lightly oil a large, clean bowl with 1 tablespoon of the olive oil. Place the dough in the bowl, turning to coat. Cover with plastic wrap or a damp clean kitchen towel and set aside to rise in a warm, draft-free area until doubled in size, about 1 hour.
Punch the dough down and divide into 2 equal portions. Shape each portion into a round loaf. Place on a greased baking sheet. Coarsely chop half of the anchovies and, with your finger, poke an equal number of 1-inch deep holes into each loaf and place some of the chopped anchovies inside each hole. Drizzle each loaf with 1 tablespoon of the olive oil. Cover the loaves loosely with plastic wrap and set aside in a warm, draft-free area to rise until doubled in size again, about 1 hour.
Preheat the oven to 350 degrees F. Divide the remaining whole anchovy fillets between the tops of the 2 loaves in a decorative manner and drizzle each loaf with half of the remaining olive oil. Bake for 30 to 40 minutes, or until the loaves are golden brown and sound hollow when tapped.
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