My mind seems to automatically say 'no, I'm letting that thought form', because the thought of what could happen is too frightening. But the anxiety still goes on without the thought. For me, it seems more of a denial.
Sounds like, in DBT-speak, you are having secondary emotions. So, when you kick in with "no, I'm not letting that thought form", you probably have a first emotional response of anxiety (at having to stop a potentially frightening thing), and then a secondary emotion of panic at the thought of feeling anxiety. I'm just guessing, but this was very much my problem. For me, it looks like this:
Thought #1: I'm doing a bad job at work
Emotion #1: anxious
Quick thought #2: Don't think that thought
Emotion #1: self-criticism (at thinking a bad thought)
Emotion #2: depression
Unbidden thought #3: I'm failing at managing my anxiety
Emotion #1: sinking feeling
Emotion #2: panic!!!
And, that's why I just go right to breathing. My therapist says - and I agree - that you can't "un-think" or "not-think" a thought, it's like the whole "don't think about pink elephants" thing. You just right away think about pink elephants.
But you can interrupt the whole process with
doing something else, and the by-product is non-thinking.
So I try to do this:
Thought #1: I'm doing a bad job at work
Emotion #1: anxious
Thought #2: Breathe in, two, three, four, hold (two, three, four) out (two three four), hold (two, three, four)...
And thought #2 just goes on repeat for a solid four minutes. After that, nothing seems as bad. Until I have to do it again.
Our brains are really, really sneaky. But our bodies are overt: they respond pretty quickly to what they are given, and they actually can re-direct pretty quickly too when you just get in there and interrupt the thoughts.
Anyway, I hope that helps some, as a practical tool.