This is actually a big problem for lots of people with anxiety and depression. Both in and out of relationships.
Loss of libido, erectile dysfunction, 'why don't you want me' - partners feeling rejected, performance anxiety, needing to get drunk before hand, 'my body is too fat, boobs too small' etc etc.
Personally, i feel you have to be well in yourself, both physically and mentally. Comfortable with the other person, honest, open, having fun. Feeling close, there must be connection so you have to get to know the other person a bit especially if you are an anxious person, else you will still have your barrier up.
In general though, if you do not 'feel' like having sex, you're not in the mood or whatever, then just getting naked and being together is great. Turn off the lights, under the covers or whatever, a bit of music, whatever is your thing.
Aron - lol : - )