Anxiety meds can help take the edge off enough that the dog is actually capable of learning and working through things. I put Juno on medication (fluoxetine/Prozac) a couple years ago when her anxiety started getting really bad. I wanted so badly to not have to go the medication route, I tried just using training and positive associations but you know what... none of that training was getting through to her. It wasn't until she was on the meds that I could finally see the training start to pay off.
She was afraid of strangers, especially men. She was afraid of going places. She was afraid of noises. If I stepped on a stick while we were on a walk, it was pretty typical for the sound of it snapping to send her flying to the end of her leash in a panic. The automatic doors at the pet store freaked her out (even though she had been exposed to them since she was a puppy and never had an issue, until suddenly they became an issue). Most of the time, if we were outside of the house, she was frantic and trying to escape. At the height of this, I was working at a pet store and would frequently take her there on my days off for some shopping... as soon as we'd walk through the doors she'd freeze and completely shut down. That store is like Disney World to her now, and my male coworker who she hated hated hated and wouldn't go near or even look at, she freaking LOVES him now.
Choosing to medicate her was by far one of the best things I've ever done. She was on the medication for 2 years, I just took her off it a couple months ago (she probably could've stopped it a long time ago, I just figured why fix it if it ain't broke). She's still unsure around men, but otherwise she is so much more comfortable and happy, taking her out in public is enjoyable for both of us now.
You of course don't have to use medication, but I feel like a lot of people treat it as an absolute LAST RESORT when there is really nothing wrong with using it. It can make the process much easier and less stressful for everyone involved.