I've made char-sui baked buns (called char sui bow here in honolulu) by taking a sweet dough (portugese sweet bread - pao duce) and just stuffing some char-sui mix into it. came out great - better than royal kitchen's (place here in chinatown, honolulu).

I've had those anpans many times and though I've never tried it, I would go get some red bean paste (japanese/oritental stores, sold in cans) and just use that as a filling in the sweet bread dough.

It is also easy to make your own red bean paste by boiling azuki beans (sold in chinatown/oriental stores) for a long time in sugared water until mushy. I've done that to put on my ice cream before.