I usually put in my earphones, listen to something easy and soft - not music, but rather BBC radio, or a history podcast or something. I also like to go outside during these times, and I usually take my camera and my tripod. I quickly get lost behind the lens, and focus (literally) on what's in front of me and not the surrounding buzz. I was out on Michigan Avenue last weekend, a crazy busy place, but I had my camera and my earphones and I felt like I was in my own safe little world.
Of course, when I am anxious during work hours, that's a different story. Same goes when I'm at large gatherings, etc. If I don't have an "exit strategy" I often feel trapped and vulnerable. I counter that by not placing myself in uncomfortable situations too often.
I think that for those of us with anxiety, we are constantly worrying about being "too closed off" or "isolated". We read medical websites, watch TV programs about depression, and freak ourselves out with WORST CASE SCENARIOS. Or we imagine ourselves in a huge ballroom, full of hundreds of friends, smiling and laughing because we're CURED! Look at me! I'm the most social person on the planet thanks to my anxiety techniques! Psshhh. Today, I've learned not to measure myself up to what others do. I have friends. I travel. I have romance. I pay my bills. I have a job. I have a nice apartment with plants and a full bookcase. If someone wants to tell me that I'm "not doing it right", then that's their problem!