Check these out:
Learned Optimism - this was recommended to me by a business psychologist and it was a great, and quick, read.
The War of Art - recommended by the same psychologist. This book is very slightly directed at writers, but is mostly about
overcoming resistance, which I find anxiety causes an awful lot of. Also a quick read.
Delivered from Distraction - this one is an ADD book, but much of it is about
managing the "race-car brain" and I found that much of it applied to the same feelings I get with anxiety.