What sort of anxiety are you talking about? General anxiety? Anxiety about a particular upcoming event? Stephen LaBerge describes strategies to reduce anxiety about upcoming interviews, performances, etc.... He also discusses using lucid dreaming to increase waking life self-confidence. I could share one of his exercises with you, if you like. I have yet to attempt using a lucid dream for these purposes (having a bit of a dry spell), but I still find his book, Exploring the World of Lucid Dreaming, very interesting. Also, reading something intellectual about lucid dreaming is good for increasing the likelihood of lucid dreams, in my experience.