I close my eyes, put my hand on a pressure point where I can feel my heart beating and I concentrate on slowing it down and my breathing. With in a few minutes my breathing stabilizes and heart stops pounding and I open my eyes again. when I can I also use my walkman to listen to relaxation type songs. I have als taken 3 depression/anxiety management groups with my therapy agency. where I learned more ideas of things I can do and also I do workbooks such as:
The PTSD Workbook
The Depression Workbook
Mind over Mood
The Relaxation and Stress Reduction Workbook.

they all have great chapters for managing depression and anxiety symptoms and are available in local bookstores or through Amizon and New Harbinger Publishing company. You can also borrow copies from your local library.