Anxiety can be controlled and the best way to do it according to doctors here where I live now is to keep doing activities you love and no not gambling,following an afternoon class of what you like for example dancing,going for running or watching comedies in theaters as this has resulted in a much lower anxiety compared to people who don't practice such things.
So it's better to avoid this and don't make it an alternative to seeking pleasure with the aim of reducing anxiety, anyway there are also quite a lot of other things that can be done as you said about the recommendations of the doctors, and maybe I will also add some of them such as always thinking positively and having enough sleep hours, this will help you to stay healthy and reduce anxiety.
Behavior therapy works fine and addicted people who use such therapy can easily forget about gambling. The neurosis would stop emerging. It's a matter of determination and will power to stop receiving the neurosis. However, demystification helps in removing the doubts and hearsay clamoring the brain of the addict. Most people haven't seen, in the first time, clearly what gambling is about. They still stay in fantasies of wealth. Those fantasies need to be removed in the memory of the addict. Hence, he can then gamble at his will since he doesn't feel moved by the crazy things that makes gambling fun. A gambler who then gambles for the sake of attempting what he likes, can easily avoid gambling at any given time. The invisible hand as Adam Smith said, may still get him to gamble, but only when he is in need of it.