I'm really not a big relaxation person either. 2 things though I have found less apt to make me more anxious are yoga and the "goodnight feet, goodnight shins..." exercise.

I don't do the "standard" yoga, basically I just contort myself as best I can according to the directions and try to keep upright. I really do have to focus and find me center to do it. It's not as easy as it looks. Also, I can smoke while I'm doing it.

The "goodnight feet" exercise sounds very similar to the one your therapist recommended, and I gotta say, it works for me. THe key is to try and keep your focus.

Good luck.