Directing them all is up to you, but if you are asking about the current way distributors are churning them out, they are getting the best short films that are winning festivals and then lumping them into one film. At most, the distributors also produce a wraparound segment to tie the short films all together. Patient 7 from Terror Films is an example of this formula.
I don't mean to dissuade you, though. If you can and want to direct every segment, then do so. I always prefer the most passionate vision behind the camera putting it together. I guess, what I meant to say above is that, if you want to just make one short segment at a time, put it into festivals and let it run the course, you may well find that each of them gets a distributor wanting them for anthology options. At the very least, if you decide you want to release all of your segments in short and as their own things, then I strongly suggest contacting Gunpowder & Sky who run the Dust and Alter channels on youtube. They are great folks. They won't be sketchy with you.