Given this scenario, do others recommend setting up asset protection (LLC, anonymous trust, etc) prior to buying even my first rental property or is this doable after getting started? 

Folks usually get an LLC in this situation for liability protection or anonymity.

We want to protect our individual personal assets and maintain anonymity as much as possible.

get an umbrella policy to protect yourself, see if you need a rental license in your municipality. an LLC is only for insulating you for liability and anonymity, it will not save you on taxes and you really dont need to worry about it with one property imo . you cant protect a single property from lawsuit, insurance is what covers you just make sure you’re up to code. insurance will always look for a way to get out of covering an incident.if you register, you’ll want to report the income. if you make less than expected after deducting costs, then it’s time to raise rent. you wont be able to reduce more to reduce other income streams since you're not a full time real estate investorin the future if you ever sell, because it’s a rental now you will owe capital gains on the property. philly is probably like ohio and not california with it’s YoY growth being tied to inflation. with that said your profit is mainly going to be the equity you build from your tenant paying your mortgage. the money earned monthly should be saved as youre doing in case you have a capex repair/replacement come in like HVAC, roofing, etci advise you pay for an hour to speak to a CPA to better your options.good luck

If you form a partnership LLC and put that in a land trust (and keep ownership interest of the land trust anonymous, together with its trustee), you've gone a long way to protecting the assets in the LLC.

I know everyone likes the convenience of the web, and they are tired of hearing it, but this really is a business based on relationships, not online anonymity.

My attorney restructured my LLC into a Series LLC to provide better anonymity and legal protection. 

I thought of was anonymity protection, however does this matter that much anymore with the new Fincen and reporting laws?

I would recommend finding an attorney over Anderson or Prime (have heard mixed reviews about them) if you decide you want to get an LLC.The reason for Wyoming is that you get a registered agent and a virtual business address for anonymity and no one can track you down (e.g. tenant trying to sue you, if you're at fault in a car accident and the other party is trying to sue you).

There’s no anonymity benefit, no tax benefit, no liability benefit.