According to the Index, De Quincy and The Anniversaries are both mentioned on p. 473 of A. J. Smith's _The Critical Heritage_--but, I've just discovered, this page, along with pp. 471, 472, and 474, are MISSING from my used paperback copy. Any help?
I'm not sure if this is what you're looking for, but De Quincey wrote very enthusiastically about Donne's Metempsychosis, the verse of which is also subtitled: "The Progresse of the Soule":
Massy diamonds compose the very substance of his poem on the Metempsychosis, thoughts and descriptions which have the fervent and gloomy sublimity of Ezekiel and Aeschylus, whilst a diamond dust of rhetorical brilliance is strewed over the whole of his occasional verse and his prose.
This quote can be found in De Quincey's Collected Writings, ed. D. Masson (London, 1987); it's also cited by Smith in Critical Heritage, 346.