I've looked into weighted blankets, not so much for anxiety issues. I believe my issue comes from nerve damage from various injuries. If I don't have enough blankets on, I don't feel comfortable enough to go to sleep. I know, it sounds strange.
So I put about 5 light cotton blankets on my bed, fold the top one toward the end of the bed, then if I get cold during the night, I cover up with the 5th blanket. My body's temperature guage has been off for years.
The reason I didn't purchase a weighted blanket is I didn't think putting that much weight into the washer would be good for the appliance.