Team Order, and by proxy Team Formation, plays an important role in KOF, but not nearly as much as in other games such as Marvel vs Capcom 3.
Once players have selected teams, both are allowed to select their team order which is double blind selected. Deciding where to place a character comes down to personal preference and playstyle.
The first, or 'point character' will start the round with zero Super Meter and Hyperdrive Meter. Certain characters can benefit from the opponent having less options due to less meter at the beginning of a game (for instance, projectile characters can worry less about Guard Cancel Rolls or EX moves to counter projectiles), while likewise not all options are going to be open to your point character from the start. By creating a strong offense and dominating early, the more successful player can have meter available while all of the opposing player's meter options aren't available. Common Japanese favorites for point characters are those who can Drive Cancel their combos for big extra damage (such as K' and Kula) due to how fast the HD Meter charges, and characters who can land plenty of attacks from blockstrings to build meter as a battery.
The second character could have from little meter to excess meter depending on usage from the previous character. This is the least demanding spot to fill since there is less to worry about than with an anchor or point. A player can fill this spot with a battery character to save resources for the anchor, or just fill it with a strong character knowing that meter should be more available. It can also be a good idea to place a strong defensive character in this position, as if you are dominated by a strong aggressive opponent in the first round, your second character can help bring you back with limited meter options.
Finally we come to the anchor, the last line of defense of the team. These are usually powerhouse characters with hard-hitting Hyperdrive Combos (Shen, Raiden, Kyo), or those with great utility usage out of their meter (Maxima, Leona). Almost every character has a strong Hyperdrive Combo, so experiment and see who works best for you.
It's easy to plan team order around ideal situations; playing an anchor character with full meter is easy. What then will one do if their anchor lacks meter? Will your secondary characters be able to make a comeback when lacking meter? Do you find their basic tools strong enough on their own, or are EX moves and DMs crucial for getting out of pressure? Being realistic about order and character selection can single out weaknesses in one's strategy. Perhaps the character previously serving as second or anchor could function better on point with the goal of OCVing the opponent's team to immediately establish dominance, or maybe a different character could be used to more strictly dictate the pace of the match from the beginning.
Character placement may be used to work in favorable match-ups. If a player feels strong against Raiden while using Andy, it would be wise to place Andy second on the player's team so that the likelihood of the two fighting increases.
There aren't any fatal answers where to place a character, it mostly comes down to comfortability in where a player orders a team. This is further discussed here: On Team Selection and Order