When used as a noun, they do not get a hyphen. Example: Diane is an anal retentive when it comes to the correct use of hyphens.
When used as an adjective, they do get a hyphen. Example: Diane is an anal-retentive editor who ensures hyphens are used correctly.
Thanks for clearing that grammatical subject, Gads...
BTW, love your flag
Now I learned something today, and it isn’t even noon.