My situation sounds very similar to yours.
I developed a pretty bad drinking problem in college, where "you're not an alcoholic, it's just college!". I thought the same thing, that I would eventually "grow up" or something. But in reality it got worse and worse. The difference is that I drank every day, while others were able to limit to the weekends (mostly). So the above saying may have applied to them, but not me since I actually had a problem.
You need to figure out what the underlying cause of your anxiety is. For me, I was always very shy in social situations and found that alcohol eliminated this. I never really thought of it as anxiety in the form of panic, because it wasn't. And now that I don't drink or take meds, it's just something I deal with...and well i'm over it really.
But my really, really bad anxiety started coming after I became alcohol dependent. The withdrawal would lead to heart palpitations, tremors, numbness etc which would lead to "severe anxiety symptoms" as my doctor put it. Then I was prescribed meds (celexa and xanax) and was still drinking a ton. This led to a 2 year long downward spiral, and I still haven't finished college.
So in short, yes you would be substituting...but ask yourself if you really need the xanax? And make sure you are NOT lying to yourself like i did. It could end up costing you thousands of dollars for your habits, and years of your life you won't get back.
If I could take it all back, I would never have started drinking. Then, I never would have heard of celexa or xanax.