Well, just in case the doctor didn't rule it out some anti-psychotics cause anxiety as a side effect. This was the case for me and Geodon. While on Geodon I'd get the worst feelings of anxiety that I ever experienced. It tended to happen in the evening and it would feel as if I was jumping out of my skin. However, it would sometimes happen during the day in social environments. I switched from Geodon to Saphris and now I don't experience anxiety.

However, if this is not the case for you. I second the recommendation for CBT therapy. I saw a CBT therapist for a period of time and he helped me immensely with the condition.