We discuss a concept of particle localization which is motivated from quantum field theory, and has been proposed by Brunetti, Guido and Longo and by Schroer. It endows the single particle Hilbert space with a family of real subspaces indexed by the space-time regions, with certain specific properties reflecting the principles of locality and covariance. We show by construction that such a localization structure exists also in the case of massive anyons in $d=2+1$, i.e. for particles with positive mass and with arbitrary spin s in the reals. The construction is completely intrinsic to the corresponding ray representation of the (proper orthochronous) Poincare group. Our result is of particular interest since there are no free fields for anyons, which would fix a localization structure in a straightforward way. We present explicit formulas for the real subspaces, expected to turn out useful for the construction of a quantum field theory for anyons. In accord with well-known results, only localization in string-like, instead of point-like or bounded, regions is achieved. We also prove a single-particle PCT theorem, exhibiting a PCT operator which acts geometrically correctly on the family of real subspaces.