It kind of depends on the type of anxiety. What is the main focus of your anxiety right now?

CBT, especially, and DBT, to a lesser degree, have been helpful for curbing various types of my anxiety. I second that grounding techniques can also be very helpful.

Since I don't yet know the source of your anxiety, I guess I'll just mention a few categories of mine and what has helped.

Anxiety out of nowhere for no apparent reason - This type of anxiety is tough, and when I've experienced it medication has been particularly helpful. Though benzos have helped me, medications like beta blockers (propranolol) can be helpful, too, by calming physical reactions (rapid heart beat, high blood pressure, etc.) I can't take antidepressants, though I know for some people they are helpful.

Grounding techniques have been helpful for me in easing mystery anxiety. I created a list in a blog post, that also helps with dissociative symptoms. Some help with the mystery type anxiety, while others also help with performance and anticipatory anxiety. A few of the below-mentioned are also DBT skills, such as mindfulness and self-soothing.

Mental grounding

• Prepare for a stressful event in advance – If you know you will be entering a triggering environment, rehearse a sample conversation (or reassuring words) in your head ahead of time. Visualize yourself remaining grounded or making pre-planned movements or responses.
• Take a special note of your surroundings – Take a moment to zero in on something you’re familiar with (like a painting or a house along your route), and describe it in your mind or out loud (if appropriate).
• Distract yourself with a “game” in your mind – Sing a funny song in your head. Count to six. Listen to the tapping of your foot on the ground.
• Visualize a calming place that you’ve been to in the past – Remember the feeling of being at the beach and hearing the pleasing sound of the waves. Imagine being in bed hugging your pillow.
• Reorient yourself to the current place and time – Ask questions like what time is it? Who am I speaking to? What is my name? Where am I?
• Pick your music right – I sometimes find myself drifting away from my surroundings listening to certain types of music. This can be dangerous when driving or even walking or riding my bike.

Physical grounding

• Use your senses to keep yourself in the moment – Smell a flower, the room, the perfume on your wrist. Feel the softness of your alpaca sweater. Lightly touch or squeeze your arm or the steering wheel. Hold onto the sides of the chair you’re sitting on firmly and say “I’m here and I’m grounded.” Reach into your pocket and feel the piece of lint.
• Be aware of your breathing – Make an effort to hear your breathing. Breathe in at a slow rate and breathe deep. Recognize that the breathing is yours and that you control your body.
• Drink a sip of water, or other drink – Stay aware of your swallowing. Take notice of the taste and heat (or coolness) of the beverage. Clear your throat.

I've had my fair share of anxiety and panic attacks. Sometimes asking for soothing from someone I love and trust helps. Sometimes the flight of "fight or flight" is necessary. However, there are times when total "flight" is not a good option, or I know I don't want to totally give up on a task. One of my psychologists would suggest that I allow myself the "flight", but just a short and temporary flight. For example, if I am having an anxiety/panic attack in a store, in a social situation, or even driving, or the like, it's OK to leave the premises. For example, leave a classroom and go to the bathroom to calm down. Leave your grocery cart in the aisle, and go outside or to your car and do breathing or grounding techniques, then return (if you can) and continue your task.

A great CBT tool that I really like that helps with various types of anxiety and cognitive distortions (catastrophizing, black and white thinking) is a Dysfunctional Thought Record. Google it to find free printable charts online. This type of tool, and some of the others above, can be helpful for agoraphobia and some phobias. These latter mentioned can be worked on through very gradual exposure exercises.

I definitely think that voicing your anxieties are extremely helpful. To get them "out there" is much better than holding them in and letting them tear you up. It's sort of like when you're sick to your stomach. It's miserable. You don't want to vomit, but when you do, it usually brings some level of relief.