Open Question: How to ask doctor to put me on xanax?

Alright, I have a anxiety problem and all my friends can see it too, like when I go to a store and someone talks to me (or a store greeter) and I start to tense up and get red and almost start panicking. I also have it really bad when I talk on the phone too... So do I just go to the doctor and ask him for it? I know I should tell him about my anxiety problems too.. Also, what if he doesn't put me on it? Should I try to see another doctor?