When do you place the +1/+1 counter for Anafenza?
Yes, you can put the +1/+1 counter on any creature that is tapped, including a creature that tapped to attack. The situation plays out like this:


You declare which of your creatures are attacking, including Anafenza and another creatures. You tap those creatures.
Anafenza's triggered ability goes on the stack, and you choose the target. At this point, you can choose any other tapped creature, including one that just tapped to attack.
The triggered ability resolves, and the creature gets a +1/+1 counter.