I think that is what Xanax is for? I guess I would discuss it with my psychiatrist as glok suggests or my therapist, in the same way I discuss my use of my asthma medication with my primary care physician when I "think" I am out of breath/am "uncomfortable".

Using medication to stop feeling "uncomfortable" is not a whole lot different from going out and having a few drinks? If you never discuss and work on the situations when you feel the desire for the Xanax, not wanting/needing/buying the Xanax won't become possible? You will still experience anxiety and extreme stress the same way and cope with it with the Xanax. Not everyone gets "completely stressed out" and chooses that way to deal with stress when they do. I am not judging you at all (I occasionally drink when anxious), just pointing out other choices one can make.