It is hard to guess what the underlying problem is from your description. The following works perfectly on my machine:
2) Create a new environment (e.g. with name "py36") with Python 3.6 and Gurobi 8.0.0: conda create -n py36 python=3.6 gurobi=8.0.0 anaconda
3) Activate the new environment ("py36"): activate py36 (or "source activate py36" on Linux/Mac)
4) Run Python: python
You need to "activate" the environment every time before running Python. This sets up environment variables.
Kostja