Hello Cain,
I'm the guy you were speaking to last night, we talked awhile about addictions and things of that nature.
Alcohol is a depressant, so while it may help in the short term, numbing you to the feelings of anxiety and depression at that moment while you are buzzed and not giving a crap about anything, overall its depressing you in the long term even more.
I agree with the others who said that you should stick with the therapy. It helps a lot of people, myself included, to talk to trained therapists about your problems because it feels good to get it off your chest a lot of the time, rather than bottling it in and letting it eat away at your sanity, leading to panic attacks and what not.
I've had two panic attacks that I can remember vividly, they are awful ordeals and I wouldn't wish them upon anyone, especially someone like you, who I don't actually know personally, but after chatting with you for awhile, I can tell you are a pretty decent motherfucker.
I don't know if you are the religious type, or even the type that doesn't believe in God as an all knowing deity in the way that Catholics, Jews, Christians, etc. believe, but I know there are some people who believe in organizing deity's of the universe. Maybe it would help if you would pray, or meditate, and offer whatever is bothering you or on your mind constantly to God, or whatever your belief system may be. That works for me many times.
I get anxiety at night when I'm going through a rough patch in life, and if I keep praying, I just offer it up to God and put it into His hands, and it helps me. If you aren't religious, try to get into a deep meditative state if you are into that and know how to do things like that. For me, I find when I pray, I don't have time to think about my guilt from all the awful things I've done in the past, and all the stress of not knowing what's going to become of me in the future, so I've been trying to live in the present lately, and trying my hardest to make the right choices as they come up, and so far it seems to be working. I'm happier, I feel more grounded and less aloof.
A therapist told me before to keep a journal, perhaps that would help you. When you write things down, you remove them from your brain in a way. Like making a grocery list. You know you need a loaf of bread so you put it on your grocery list, and you forget about it, but when you goto the grocery store and you forgot the list, you can't remember for the life of you what you needed since you wrote it down and didn't need to remember that anymore since it was on your list.
The therapist used that analogy about journaling. Writing things down has a way of getting it out of your head.
Either way, good luck my man. Holla at me sometime if you need someone just to vent the frustration to. I'm a pretty good listener and you and me been through much of the same nonsense.