This is absolutely something you should be working with a psychiatrist to regulate and find the dosage that works best for you. I don't take any medication for anxiety/depression but I regularly smoke pot and that does wonders for my anxiety. Of course, for some people pot can have the opposite effect which is why using it to self-medicate is a risky proposition.
Honestly my best advice is that, if you aren't having a good experience with your psychologist/psychiatrist you should find a better one. I've been lucky enough to be with a therapist who worked well for me as a teenager that I recently started seeing again for my anxiety. He recommends me to a local outpatient psychiatry department for my ADHD meds so I don't have to switch, but I don't know how much use the meds would be if I wasn't able to talk to him regularly.
Honestly my best advice is that, if you aren't having a good experience with your psychologist/psychiatrist you should find a better one. I've been lucky enough to be with a therapist who worked well for me as a teenager that I recently started seeing again for my anxiety. He recommends me to a local outpatient psychiatry department for my ADHD meds so I don't have to switch, but I don't know how much use the meds would be if I wasn't able to talk to him regularly.