From my understanding, you cannot unfortunately. Anchor is a non-custodial wallet and requires that you store the private keys of an account within the app on your computer. The WAX Cloud Wallet is a custodial wallet, they control the private keys, and they don’t provide you with them.
What you can do however is create a new account, one which you have the private keys for, and transfer whatever nfts/tokens you’d like to this new account. This new account would work on wallets like Anchor since you control the private keys - but wouldn’t work on the cloud wallet anymore.
In this instance you’d have 2 accounts - one you control and one the cloud wallet controls.