I used a lot of massage therapy and added in aromatherapy. The massage work (once or twice a week for three months) helped teach my muscles how to relax, and what it FELT like to be relaxed. And the aromatherapy helped me associate that kind of relaxation with certain smells.
Then, I could use those smells at home, and my body sort of "knew" how to relax. It has been an amazing addition to my recovery from Panic and Anxiety.
I also use guided meditation. The best CDs I've ever found were on www.healthjourneys.com
and the work of Belleruth Naperstek. I'm not associated with her or her site at all, except as a VERY satisfied customer.