The advice in this thread isn't exactly bad, but it does miss the point.
For real information on anxiety, read either "Peace from Nervous Suffering" and/or "Hope and Help for Your Nerves" by Dr. Claire Weekes. They are old books, but nearly every newer book on anxiety is based on this information.
No, it's not all "in your head". Anxiety is a very basic animal instinct that has kept the species alive. The problem is when anxiety stops being a response to a threat and becomes something that your system does without a trigger. The cure is desensitizing the nervous system so that it stops going off all by itself.
Good luck.