I love Boulangere's idea about freezing them. Since the anchovies are already salted, we usually put them in a jar, with the label from the tin taped to it. We've kept them from 3 weeks to a month and they're just fine. In fact, we have some in the fridge now!
As Denae Peters recommends, definitely refrigerate after opening. If you're not going to use them up soon, say within a week, spread them out in a ziplock bag and freeze them so you can pull out as many as you need at a time to thaw and use.
You should refrigerate once opened and try to use within 2-3 days. Normally, I just start adding them to everything I'm making so they never quite make it to the 3rd! :)
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