Yes, I would try the magnesium! It has helped me with my anxiety, and also with my migraines!
I doubt magnesium alone will calm your anxiety, but it does relax the heart muscle. Most Americans, particularly women, lack magnesium for three reasons: the overindulgence in sodas, which leech magnesium from the body; the over consumption of calcium, particularly in dairy, which also leeches magnesium out of the body; and the underconsumption of green vegetables like collards and kale and such. I would recommend that if you want to pursue this without medication to see a naturopath or holistic nutritionist, who can help you balance your diet and suggest a combination of remedies that might help, such as hawthorn, which relaxes the heart muscle. Otherwise, you're kind of stuck with drugs.