Our CD-25 did the same thing - it happens with an efficient hull, not much boat in the water, and a cabin that catches wind. If it isn't a problem with nearby boats, enjoy the motion. If you need to keep the boat from swinging, there are several things you can do:
* Hang two anchors off the bow (drop one and set it as normal - use your dinghy to set a second anchor (45º or so off from the first), or ease the boat forward and drop the second on a shorter rode and set it. Pay out the line on both. As long as the current and wind doesn't change, you can control any amount of swing by adjusting either rode.
* Drop a lighter anchor off the stern. This may not work with all situations, especially if there is endangered sea grass under your stern. The easiest solution, but you want to keep a close eye on any stern anchor rode.
* Make a "bridle of sorts" by tying a rolling hitch to your anchor rode, then run that line to a cleat further back on the boat. Again, by adjusting the length on that line, you are setting your boat just off the wind and it will "sail" less at anchor.