What else can I do for my anxiety problems?

I have a big problem with anxiety disorder. If my husband wants to go out for just a couple hours I freak out or even if my friends want to go do something and he is not working, I have a hard time going as I am always worried he will not be around when I come home. I am scared of being by myself but yet this is very strenuous on our marriage. I have gone to the doctors and they said I definitely have anxiety/panic attacks and put me on Xanax and told me only to take it when I feel I need it. I have had to take it a few times, but it does not help me. I still worry so much. What else can I do? I am just going crazy