Another good thing to do is to ignore your dog for around 5 minutes when you come home. Patting him and giving him lots of attention will be seen as a reward by him, and each time you go out, he'll be waiting for you to come home to get his reward.
Just ignore him for five minutes whenever you come home. Don't look at him, don't talk to him, don't touch him... just act as if he wasn't there. He will soon learn that you coming home doesn't mean he will be rewarded and this should reduce his levels of anxiety. Just like children, some dogs get excited when they know they're going to be getting a surprise or a treat and this can cause them anxiety while they wait for it. Stop rewarding your dog for his anxious behaviour when you get home and you should quickly see a change in him.
You might want to start with small periods of separation, say 5 minutes, and as his behaviour improves you should increase the periods you're away from home until his behaviour has been corrected.