It depends on what is causing my anxiety. I'm not a particularly anxious person, but now and again overload causes me anxiety - so I do one of two things.
1. I mind map, creatively with doodles. I look through my mind map, see what I can change or do something about. Anything that is out of my control gets crossed off the list.
2. I do something creative, write a poem, cross stitch, draw, make jewellery. Creating is good for anxiety - it is my kind of therapy.