If you have anxiety problems you should really try to avoid caffeine no matter what meds you're on. There have been a couple threads on that on this board and from what I remember there was a lot of agreement between those of us who got off caffeine that it helped a lot.
You really need to be in regular therapy, if you're not already. Finding the right meds will be helpful, but there's just no substitute for having someone you can talk to face to face about your anxiety. Your doctor wants to deal with the chemistry making you feel bad, but you also need someone who can help you with the thought processes involved and teach you techniques for dealing with the negative thoughts and feelings.