Whichever approach to quitting you decide to use, your caution about the xanax is a very good sign. If you have trouble, of course you'll want to talk with the doctor about it.
In an answer you recently rated Best, there was information about mind-body methods. I'd like to mention that therapists are seeing how this and CBT can work together. In an article they wrote on GAD, Roemer and Orsillo of the Univ of Massachusetts said that the self-monitoring of cognitive therapy can be thought of as a mindfulness exercise. One of mindfulness' uses in daily life is helping people to stay in touch with their feelings, noticing bad moods shifts when they occur, which prompts people to spot the negative thought that triggered the mood shift. Like CBT, mindfulness training teaches people to respond calmly to negative thoughts, let them go, not struggle with them, and a few moments of slow, deep breathing is a simple, effective way to calm down.
There's a program that's been more popular in the UK than in the US - Mindfulness-Based Cognitive Therapy. It uses MBSR , the classic mindfulness training program, as a way to help people deal with obsessive rumination. If you go to the MBCT website, you can see studies showing that this was shown to prevent relapse after depression like antidepressant. MBSR founder Jon Kabat-Zinn co-authored a book with the other MBCT researchers - The Mindful Way Through Depression.