I wouldn't use just a fuse, as under heavy load you'd likely exceed it. Not long enough to fry wires, but certainly enough to make 'em warm. What you want is a breaker, either on the panel or one designed for a windlass. It doesn't "have to be" near the helm, but it certainly helps to have it close (and rapidly accessible). Because if you're in a situation where getting the anchor retrieved quickly is a factor, and it trips, you don't want to be away from the helm scrambling through panels or hatches.
Maxwell, Lewmar and probably others make panel-mounted breakers for this.
The idea is a fuse 'close' to the battery and then the breaker somewhere else in-line nearer the windlass. This way the breaker trips first and could be easily reset. Bearing in mind that all these pieces add to the total distance required for the circuit. This will affect the gauge of wire that has to be used.
Lastly, batteries are heavy, make sure your desired location isn't going to cause issues, like listing. Or at least know that's an potential issue and factor the added ballast needed on the opposite side.
.
