This is my take on any therapy: if you don't go in with an open mind it cannot work.

That means you have to be willing to allow for it to have bumps along the way and still keep a positive outlook on it.

You already have anxiety about this therapy. Is it feasible to expect you will be able to relax and say "ok, it isn't going to kill me if this doesn't work but it could really help me if it does, so hey - why not try?" ?

If you truly think you can do that, I say give it a try. If not, then, by all means, quit and find a therapy (and therapist) you feel comfortable with.