I don't know haven't tried it yet, but you also wont get any bounties for shooting pirates in an anerchy system unless you scan them first with a KWS and that takes times too and you risk having to go to several different systems to collect so I don't think it's a good idea to try, but ofcouse you are welcome to do it anyway...
btw. you could also turn off "report crimes against me" in the right UI panel that may reduse the number og police ships coming to aid you in the battle in the RES'...