Were you on any medications for the anxiety prior to getting pregnant?  If so, then I would contact the therapist and have him speak directly with your obstrician so they can work as tem members on your "health team."

If you were not being treated prior to your pregnancy and these are very new mood symptoms then i would contact a therapist who has expertise dealing with pregnant patients - since certain medications can not be used during pregnancy and others have to be timed to be used during certain trimesters - and see if you are a candidate for anxiety treatment.  I would not delay and youmight use your OB as a source for a list of therapists.