Depends on the kind of anxiety. With social stuff if I'm feeling nervous, I'll usually just say something like "damn, I'm worked up today." That usually breaks the ice and lets the other people know where I'm coming from, instead of making things more awkward.
If I'm avoiding a situation like having to make phone calls, I try to give myself 30 minutes to relax. But I commit to getting whatever needs done after that time.
Having a panic attack is a pretty different ballgame, because you feel like you're going to die or go insane during that. If it can be helped before it gets bad, I'll try to remember I've had them before and that I need not let my thoughts race. If it's too late, I just check the time and figure "all you have to do is not die for 10 minutes and you'll be fine."