Other than alcohol, which should be stopped in rehab to monitor your recovery, you don't have to stop the other stuff all at once. Don't freak yourself out that you'll be so sober that it will be impossible to manage your anxiety.
Your doctor can help you stop taking all that crap, but if you need something for the anxiety in while getting your head straight, then be honest with the doctor, and don't lie so you can get more meds and work on leaving the stuff behind.