Anxiety during treatment is not something to be dreaded or avoided.
It's actually beneficial. As patients feel anxiety, they learn that it cannot hurt them and that they can tolerate it.
As a rule, you won't be intervening in-session to help patients manage their anxiety.
The rare exception is if the anxiety becomes so extreme that it's counter-productive to therapy or if you feel it may put them at risk of physical harm.
It is helpful to give patients a tool for managing anxiety at other times during the day when they feel especially tense and it's important to calm down quickly, e.g.,
When driving
When watching children
The main anxiety-management technique taught in PE is breathing relaxation.
The key to this technique is slow, focused breathing.
It can also help if your patients say a "calm" word while exhaling.