I'm surprised your therapist didn't didn't address this with you. My very first therapy session, my counsellor told me that I needed to stop drinking and that my anxiety would probably get worse before it got better (fortunately for me, he was wrong about that). Then he taught me some techniques for meditation and relaxation and some breathing exercises. Now, that stuff didn't bring the immediate relief that the alcohol did, and it didn't make all the anxiety go away, but it did keep it from getting worse during withdrawal.