Per the Catholic Catechism 115 and 117.3, the anagogical sense is one of the three "spiritual senses" (or spiritual meanings) of scripture.
There are two primary categories of meaning regarding the sacred text: the literal sense and the spiritual sense. They have gone further to sub-divide the spiritual sense into three smaller categories:
allegorical - (Also called typology), this sense is the idea that all scripture is an allegory for Christ and all the events are related to him.
moral - This sense of the scripture is the meaning that encourages us to act righteously.
anagogical - This sense of the scripture shows that all events in the Bible are used as a way to point towards their eternal significance.
Source: CCC 115, 117.3
So, the idea behind the "anagogical sense" is that all events in the Bible relate towards our heavenly life or our movement towards eternity. The parting of the Red Sea, for example, is like God bridging the gap to bring us from our earthly home to our heavenly home. The church here on Earth, as another example, is a copy our relationship with God in heaven.
There's an ancient couplet that summarizes these four senses nicely:
The Letter speaks of deeds; Allegory to faith;
The Moral how to act; Anagogy our destiny.
The anagogical sense should be considered whenever there seems to be a clear corollary to our spiritual life. Often times (such as the wandering in the desert), how these events point to our eternal existence isn't always obvious. I suspect that there is a anagogical sense there, somehow, but it is beyond my understanding.
In the end, the Catechism isn't clear about when to apply these. The wording there seems to show that the anagogical sense can always be applied to all scripture. I take that to mean that the anagogical sense is always present in scripture but not always obvious to us.
So, in my mind, whenever we can apply it to scripture, it should be applied to scripture. The idea being that it would help give us a "fuller sense" of the scripture.