Make incisions all over the lamb and stuff a garlic slice with an anchovy and pinch of rosemary leaves (use half of what you have and keep the rest of the rosemary aside) into the incisions. Rub the lemon zest and olive oil all over the surface of the lamb. Season with salt and pepper.
Put the onion wedges into a roasting tin, sit the lamb on top and roast for 1 hour. Pour 200ml of the port and 300ml water into the tin and return to the oven for 30 minutes.
Remove from the oven, transfer the lamb to a warmed serving dish, cover with kitchen foil and leave to rest for at least 30 minutes.
Tip the contents of the roasting tin into a saucepan, together with the remaining rosemary, Port and another 300ml water. Bring to the boil, then reduce the heat and simmer for 10 minutes until slightly reduced. Strain everything through a sieve into a jug, pressing through as much liquid as possible.
Melt the butter in a frying pan over a low heat. Stir in the cornflour until you have a smooth paste and cook, stirring all the time, for a minute. Slowly whisk in the strained liquid, a little at a time, until smooth. Simmer for 10 minutes over a low heat, stirring frequently, until thickened. Add any juices that have come out of the lamb while resting and stir well. Carve the lamb and serve with the gravy and your favourite sides.