Anomalous radiative transfer (ART) theory represents a generalization of classical radiative transfer theory. The present tutorial aims to show how Monte Carlo (MC) codes describing the transport of photons in anomalous media can be implemented. We show that the heart of the method involves suitably describing, in a "non-classical" manner, photon steps starting from fixed light sources or from boundaries separating regions of the medium with different optical properties. To give a better sense of the importance of these particular photon step lengths, we also show numerically that the described approach is essential in preserving the invariance property for light propagation. An interesting byproduct of the MC method for ART is that it allows us to simplify the structure of "classical" MC codes, utilized, for example, in biomedical optics.