I am never sure when to use anything or any thing.
Hello xander,
Well, I've had quite the time trying to post this answer! Attempt #4.
Here is a link that explains the one word "anything". It delineates the 4 uses: pronoun, adverb, noun, idiom.
With "any thing", I'd treat it as two words meaning whatever object.
I hope this helps you!
Smiles,
SMS