It was only when I went to check Wikipedia today that I'd even heard of the rhetorical use.

Note that anaphora should not be confused with deixis. For example:

"Every student thinks he is the cleverest man in the room".

Here, he is anaphoric if you can a room full of smug students, and deictic if Stephen Hawking is in the room and the speaker/listener is looking at him.

Also, you can occasionally have cataphora, where the referent occurs after the referring expression.

(Hmmm, Wikipedia thinks anaphora are special cases of deixis...)