CBT is effective as it addresses how thoughts influence feelings and behaviour. All types of therapy can initially make things worse as you are being made to confront things that are uncomfortable. In this respect, counselling and talk based therapies aren't for everyone.
I have fibromyalgia and am trained in psychology, psychotherapy and counselling. Fibromyalgia and Chronic Fatigue is very draining and makes anxiety symptoms worse. Maybe try something like Tai Chi, you can find instructional videos on the internet. The benefit of Tai Chi is that it is performed to music that is 60bpm (mimicking the resting heart rate). It is also fluid in motion and you move slowly between positions. This helps free up areas where you are experiencing pain.
You could look at using a thought journal to tackle your anxiety. This is something that can be kept private if you want to. For CBT to be the most effective, it should be done under the guidance of someone trained to do it. However, I don't think there is any harm in doing a thought record as long as you follow the guidelines.
Situation: List details about the situation that your anxious or unhelpful thought has occurred, eg: Shuffling around the supermarket with my friends.
Feeling: List the emotions you are experiencing and try and give them a percentage, eg: Disappointed 40% embarrassed 20% sad 40%
Automatic Negative Thought: These thoughts occur, often without us even realising we are doing it. They are negative and unhelpful eg "My friends must think I am a loser because I can't keep up with them"
Evidence to support the thought: this is any logical information that you think supports your negative thought. Eg "I am slowing them down, they want to walk at a faster speed."
Evidence that doesn't support the thought: This part is very important, think of all the evidence that doesn't actually support that idea. Eg "My friends asked me to come with them. My friends are good people and understand that I would keep up if I could"
Realistic Thought: Now you need to form a more realistic or helpful thought, for example "I am glad I have supportive friends that want to do things with me"
Finally, re-evaluate your emotion: eg: relieved 50% sad 20% disappointed 30%
It is important to remember that CBT doesn't "cure" your feelings. It just gives you a way to rationalise your automatic negative thoughts. It can be helpful, but you need to really engage with the process.