Yes, you should sleep with her for the first time and then talk to Joseph about it. But there are 2 different situations about this, which whether you had talked with Joseph about Anna doing Starmaker and decided to share Anna with him or you haven't done any talking to him yet.
This sharing route is a one-time thing and you can't repeat this scene all over again, unless you start a new game, so remember to choose carefully. 馃榿