Personally I used self-hypnosis. I would practice in advance how I wanted to react to my triggers (dentist phobia, driving lessons). Most of the time is spent on relaxation, and then imagining the situation until anxiety shows up. Then back to relaxation. A few cycles and then leaving it alone, finishing with relaxation. You can get cheap self-hypnosis MP3 sessions online, maybe. Or have your T record a session from a book.