The notion of just using special panel layouts for mobile surfing is really awesome. I'm just getting more and more frustrated though since I can't get it to work at all.

Choosing Mobile Browser as selection rule does nothing, no matter which user agent I use (Iphone, Blackberry etc...) the panel isn't used.

Creating a Selection Rule for anonymous roles (mobile) as you suggest therefore seem like the alternative way to go, but a selection rule for user roles can only be set for logged in users (the idea of logged in anonymous users is pretty strange in itself) so I'm left stranded.

Both Panels and Views are truly great modules, but I'm time and again put of by their extreme counter-intuitiveness in function (in combination with the lack of documentation).