Your primary care physician may never know you're seeing a therapist unless you tell him and if you tell him, he'll just be glad you self identified a problem that is effecting your well being and are getting help.
I suffer(ed) from terrible anxiety that caused me to be hospitalized for 7 days and be totally out of it for that time. Therapy hasn't done anything for me; the only thing that worked was medication. I do go to therapy now to try to talk myself into finding the joy in my life and work again.
Just because therapy didn't work for my anxiety doesn't mean it won't work for you. Just don't be afraid to take a medication if your therapist recommends you see a pdoc so you can be prescribed some medication. I am sure glad my therapist referred me.
Best of luck to you on the anxiety. It is a very horrible thing.