My p-doc had me continue taking Paxil when I started Effexor (an SNRI like Cymbalta) until I got up to a therapeutic dose of Effexor and was on it for 4 weeks. Then she had me stop the Paxil. By being on both for a bit, it reduced the Paxil withdrawal effects. So it's not that uncommon to be on both at once, at least for a short time. Same happened when she tried me on Prozac while I was still on Paxil (Prozac greatly increased my anxiety though!).

I think pharmacists are required to give you the warning. I just told them that my p-doc was having me on both to avoid me going through Paxil withdrawal, and the pharmacist said OK. If need be, you could have them contact your p-doc.

As for what anxiety med you could take with Cymbalta, do you feel comfortable taking a benzo like Xanax or Ativan? If so, you could try asking your p-doc about those, at least on an as-needed basis (they have the potential to be addictive if you take them regularly). I know they can be taken with SSRIs--not sure about Cymbalta.

I'm following this thread, too, since I'm in a similar situation--switched to Cymbalta due to depression, but it isn't helping my anxiety very much. I mainly have generalized anxiety and panic disorder, plus some OCD, but I've recently--and in the past--had some issues with major depression.