I didn't try self help for anxiety but for something else. It was also breathing exercises and stuff like that and for a really long time it didn't help at all. Some of it actually made things worse. So yes, I had that problem too.
I don't know why but at one point some of those things suddenly started working for me. So even if they don't help now, there's hope
I'm sure one day some of them will start working for you to