Yes, the panic is a normal part of the severe allergic reaction, and can also be related to side-effects of the Epinephrine that is given to patients suffering an anaphylactic reaction.
In addition, high doses of solumedrol can cause panic as a side-effect. I've gotten panic attacks from oral steroids (Prednisone) before, also.
To compensate for the jitters, get some homeopathic Calms - it is a sugar pill you melt under the tongue and it contains something that relaxes and calms the nerves.
Alternatively, try some chamomile tea. Sip slowly so you get the full benefit of the warm and soothing effects.
As for the thirst, yes - steroids cause potassium loss, which is an important electrolyte. Electrolytes help to maintain proper hydration in the body. Eating (or drinking) fresh fruits and vegetables will help replace the potassium and will help re-hydrate you. Also make sure to drink plenty of water and other liquids. Try to avoid caffeine (coffee, black tea, soda, chocolate), since that will just make the jitters and dehydration worse.
Gluten & Sulfite Sensitivity, Multiple Food & Inhalant & Medication Allergies, Asthma, Gut issues (dysmotility, non-specific inflammation), UCTD (Lupus?), Osteoporosis, Anemia, Very Low Lymphocyte Counts (T-Cells & B-Cells), malabsorption/malnutrition, etc.
Meds: Pulmicort, Injectable Vitamin B12, Herbs, Nutritional Supplements, Essential Oils, Homeopathy.