How do we use the hyphen? It is confusing. Sometimes when using prefixes like 'anti' no hyphens are needed.. but sometimes they are. For example, anti-infective has a hyphen while antibacterial doesn't. Similar is the case with antiperspirant and anti-hero. How do we decide inserting the hyphen?
Gradually, words that started with the hyphen can move to "closed compound" (no hyphen) status. There's no clear point when a "with hyphen" word jumps to "no hyphen" status, but the publishers of the dictionary will choose which form to use based on common usage, their usage panel, etc.

As long as you stick with one dictionary, you will be consistent in your use.

See this from http://grammar.ccc.commnet.edu/grammar/marks/hyphen.htm on uses of the hyphen:
adding certain prefixes to words: When a prefix comes before a capitalized word or the prefix is capitalized, use a hyphen (non-English, A-frame, I-formation). The prefixes self-, all-, and ex- nearly always require a hyphen (ex-husband, all-inclusive, self-control), and when the prefix ends with the same letter that begins the word, you will often use a hyphen (anti-intellectual, de-emphasize), but not always (unnatural, coordinate, cooperate). By all means, use a good dictionary when in doubt! For further information about compound nouns and compound modifiers, see the separate section on Compound Words.

That link brings you to this:

Compounds with Prefixes

With a handful of exceptions, compounds created by the addition of a prefix are not hyphenated:
anteroom, antisocial, binomial, biochemistry, coordinate, counterclockwise, extraordinary, infrastructure, interrelated, intramural, macroeconomics, metaphysical, microeconomics, midtown, minibike, multicultural, neoromantic, nonviolent, overanxious, postwar, preconference, pseudointellectual, reunify, semiconductor, socioeconomic, subpar, supertanker, transatlantic, unnatural, underdeveloped
Exceptions include
compounds in which the second element is capitalized or a number: anti-Semitic, pre-1998, post-Freudian

compounds which need hyphens to avoid confusion: un-ionized (as distinguished from unionized), co-op

compounds in which a vowel would be repeated (especially to avoid confusion): co-op, semi-independent, anti-intellectual (but reestablish, reedit)

compounds consisting of more than one word: non-English-speaking, pre-Civil War

compounds that would be difficult to read without a hyphen: pro-life, pro-choice, co-edited
From: http://grammar.ccc.commnet.edu/grammar/compounds.htm
My advice is to pick a dictionary and use the form presented in that dictionary.
Try out our live chat room.
Are there really no rules? Thanks for the help though.
 BarbaraPA's reply was promoted to an answer.
Thank you very much!
Students: We have free audio pronunciation exercises.
PS - I do turn to a dictionary for this myself!