Hey chocmouse I didn't get a chance to welcome you so first I'll do that... welcome
Since your post doesn't have answers yet and I seem to be good at seeing grey areas and all sides of a question/situation I'll play devil's advocate. Unless there is some physical reason for anxiety e.g. body producing excessive amounts of adrenaline, I don't see any biological or physiological reason why sticking pins in your body would help anxiety. Maybe leaving the pins in would be something like the use/effect of worry beads? Or a placebo effect? Nothing wrong with either of those as such but I would be very surprised if they were effective for extreme anxiety.
Bottom line... I'm skeptical too. I hope you find something to alleviate your anxiety soon.