there is a common progression of words from two separate words, to hyphenated, to hyphenated or joined, to compound. Witness the 'any' words. 'any thing' probably progressed from 'any thing' -> 'any-thing' -> 'anything'
I wouldn't worry too much about whether the hyphen is in or out! Unless the two words are different parts of speech as in 'every day' and 'everyday' that is.
Sometimes a hyphen can serve as a hint, or an aid to the eye and brain of the reader (as in 'co-opt') but then, that's another matter altogether...