I do this when I'm installing wedge anchors. The most common sizes that I use are 1/4" and 3/8". I'll decide how much of the anchor's threads that I want sticking out above the concrete, and I'll take a threaded rod coupling and screw it that far on the anchor. After I drill the hole, I'll pound the anchor in until the rod coupling hits the floor (or wall). It keeps you from messing up the anchor threads when you're driving it, too.
