There could be a few reasons why this happens and you're correct, anxiety can trigger this sometimes. Have you always had this problem? I found an excellent page with many helpful suggestions and hopefully these will help. You can also practice holding back when self pleasuring to last longer. If none of these tips help, you can then consult your doctor - there are easy medications such as certain anti depressants that help. Try not to worry since this alone can make it worse. You can also take a brief break and then resume intercourse. Hope this resolves.

http://www.wikihow.com/Stop-Premature-Ejaculation