Anxiety is a horrible feeling. I hate it even worse than I hate depression. The paranoia you describe is just another symptom of the depression. I remember being flabbergasted when my psychiatrist listed the symptoms of depression. I didn't recognize paranoia but thought it was myself being honest with myself. I was so relieved to know it was just another part of my illness and not the deepest truth about myself. I hope this helps a little bit.
I was only able to control the anxiety with medication. Other people have had success with other methods so keep trying.
I'm really glad you have a good dr. It can make all the difference. Just tell him ALL your feelings. Only then can he prescribe treatment.
Good luck with everything.