Well maybe you can try to work on deep breathing, meditation, closing your eyes and listening to some meditation music or going for a long walk.
There are things we can learn to do for ourselves to help with our anxiety. Maybe others can post some of the things that work for them.
I color in coloring books. I know that sounds silly, but it always works for me. Or watching a relaxing old movie. Believe it or not, when my anxiety kicks into high gear I watch a preschool program on cable called, "Little Bear"...it is so soothing.
Oh, there are times when only a xanax will do, but I always try these before I resort to taking a my medication.
Or, maybe you should also just not ween yourself so quickly as your doctor wants you to. Increase the dosage a little higher of what he is telling you to decrease it by. This may help too.