You might want to check out the book "Feeling Good", by David Burns. It is essentially a Cognitive Behavior Therapy workbook. An outstanding Psychiatrist friend recommends it for patients with anxiety, depression, and/or procrastination. At less than ten bucks on Amazon, it's worth a look.
I'll second this - it's the book my therapist recommended to me for anxiety. I think you should also follow all the other great suggestions on this thread (such as finding a CBT-focused therapist) but even that book alone made a big difference to me. And I hate self-help books.
