There's this thing called progressive relaxation. You tense the various muscle groups one by one for about 5 seconds, then relax.
apparently this has to be practiced every day until eventually you get to a point where you can just tell yourself to relax and it happens without all the tensing and relaxing, automatically and in just a few seconds. Perhaps it'd help you to do that.
Funny, I just had this conversation with my therapist today. He recommended a workbook he used many years ago that helped him rid himself of panic attacks. I bought it today and have just started reading it and doing the exercises. Its called The Relaxation and Stress Reduction Workbook by Davis, Eshelman, and McKay. You should be able to find it in Barnes and Noble or Borders.
You can also practice using a cue controlled relaxation word. This is where you take a deep breathe in and on the breathe out say your word. My word is relax. In order for it to work, you need to practice it at home before you are in an anxiety situation. Deep breathing and counting helps as well. Take a deep breathe in and count to 7, and on the breathe out count to 10.
I also sometimes put a rubberband around my wrist and snap it when I get anxious or angry. It helps to snap me back into the moment and to distract my anxious or angry thoughts.
You can come up with a coping statement - like "I am ok, this may be difficult, but I will get through it. If I am rejected it is not the end of the world. Most people will not reject me" or whatever your particular issue is.
One my therapist taught me that I like, that is so so simple is to just repeat "I'm not going to let the SA win anymore. It has taken too much of my life, and I'm not going to let it win". Helps me snap out of my own world before I go into a tailspin!
Do you have them at home or just when you go out? If I go out to a store or something and start to have an anxiety attack, I usually go to the back of store or an aisle that has hardly any people so I can calm down and adjust to the atmosphere. If your in a place where you can't really avoid walking into a room of people, try to imagine something out of the ordinary like a unicorn ramming it's horn in a cloud. It's difficult but after awhile you'll find it works.