People with Aspergers that have difficulty with anxiety sometimes manage it with what is called "stimming". The classic picture of this is a child that flaps his hands. As these children grow, they learn to shift to less disconcerting forms of physical stimulation such at finger rubbing, face touching, etc. The generation of intentional physical sensation can introduce a feeling of control that can help to reduce anxiety enough to be more manageable.
For a longer term therapy, you might want to experiment with applying (after an anxiety inducing event) a mental exercise to imagine the worst possible outcome and see if you could imagine a way to deal with it. This can begin to build a confidence in your ability to come through anxiety situations with them taking less of a toll.
One such exercise is to consider what you would do if you suddenly awoke in a residential neighborhood you didn't know and were naked. This would be an intense experience (especially in the winter). You might consider knocking at the door of someone and asking if they needed any work done like cleaning their garage in exchange for some clothing and food. In this exercise, even if they called the police, your situation would still be improved.