I have recently purchased this colouring book, it is complex colouring in for adults. I noticed the shop I went into was also was selling anti-stress books to help with anxiety as well as calming books. I have completed a colouring- in page already and I had so much fun doing it!
I haven't yet tried using it when I feel anxious as I have actually been doing so well with my anxiety recently! BUT! It does make me feel very calm- I can understand how it may help someone feeling anxious to relax as it makes you concentrate on the colouring rather than how you are feeling.
I highly recommend you buy one of these colouring books (from: WHSmith, The Works) and treat yourself to a rainbow pack of felt tips!