I know about different therapy methods cos for a while Si and I were the primary carers for a good friend of mine who was suicidal! And we were trying to find anything that might help. CBT has a GREAT track record.
What I meant about me is....CBT basically teaches you the skills to control your anxiety/depression on your own. Alot of it is to do with learning to recognize when you are getting worked up and what thoughts/actions trigger off that, etc. Then you can learn to stop yourself from doing that.
I realised at one point that b/c I was so anxious about needing the loo in an awkward moment, I was going to the loo even if I didn't particularly need to then just in case! And this was "training" my bod to think it could go to the loo even more regularly than it was! This was a particular problem for me when I was commuting to work and got to London, just before I got on the Tube (no toilets ). So I made a conscious effort that every time I got to the station and automatically started to rush to the loo I would stop myself, take a few deep breaths and ask myself "do I really need to go NOW?" If the answer was no, I would make myself wait! Simple, but quite effective. It did mean I needed to find toilets I could run to en-route if neccessary, but it stopped me always having to run to the loo wherever I was.
Note, I was using Immodium and this diet to reduce my symptoms while I did this...the anxiety loo stops were extra.