You are talking about cigarettes, right? Your post and mention of anxiety seemed rather vague in implication.
To answer the question - yes, I smoke cigarettes.
As far as the anxiety-relief goes, however, you do realize that chemically, your body is experiencing the opposite. Nicotine is a stimulant and the relative lack of oxygen in your blood also functions to make your body work harder.
That said, the time I force myself to take out and have a cigarette, functions as almost a meditation - as I focus on little else than my five minutes with just me and a cigarette. Smoking also often functions as a social buffer, as an activity to engage in when you can't think of something else to do when you are in company and slightly nervous. In both cases, this can serve as a pretty big crutch and I would imagine this is one of the factors that makes quitting so difficult.
These days, it is pretty hard to ignore the health and financial costs of this habit. At my rate of smoking, I spend about $1000 a year to actively damage my health.
So, why do I still smoke? Well, because I like smoking. It is as simple as that. It is a chosen vice. And I try to take responsibility for it's effects.
I exercise. I watch where and when I smoke (not around children, near people eating etc.). I clean up my butts (I keep a jar). I don't mind the various smoking bans. It is alot like drinking for me, another vice. I like to drink, but I don't get so drunk as to make a fool of myself, or impinge on someone else's good time. I don't drive drunk, and don't drink when I have responsibilities soon after (like an important day of work in the morning).
So, if smoking is working for you, good for you - make that choice for yourself - but have no illusions as to the costs and responsibilities of that choice.