It sounds like your brain might have initial trouble adapting to the binaural beats. The same thing happened to me when I listen to the Beta frequency (I got a headache), but then I discovered that I had the volume turned up too loud. I would say experiment with these frequencies, but at a low volume. See how you go. And if you continue to have anxiety, by all means, stop listening. Also, not all binaural beats are created equally. Some are amateurish, but the ones from Binaural Beats Meditation (mentioned and linked to in this article), are professionally created and the ones that I personally listen to. I love them (especially the Theta/Delta ones)! I hope this helps. :)
With brain wave entrainment technology, changing brain wave states is an instantaneous and effortless process. The 'periodic stimulus' can be sound, vibrations and/or light. We have found that we get the best results with blinking lights which are experienced through closed eyelids. This is only problematic for people with existing diagnosis of photo-induced epilepsy, as blinking lights can induce a seizure in them. The programs are enhanced with Deepak Chopra doing the narration along with holographic sound effects and original music composed and performed by Rudy Tanzi.
Some studies have found that binaural beats can affect cognitive function positively or negatively, depending on the specific frequency that’s generated. For example, a study of long-term memory found that beta-frequency binaural beats improved memory, while theta-frequency binaural beats interfered with memory. This is something for scientists to continue to examine closely. For people who use binaural beats, it’s important to understand that different frequencies will produce different effects.

I am fortunate to be working with Deepak Chopra, M.D., and Dr. Rudy Tanzi, co-authors of the bestselling book Super Brain, on a technology called Brain Wave Entrainment. Deepak is very well known, but Rudy is an amazingly interesting person as well. He is the Kennedy Professor of Neurology at Harvard Medical School and Vice-Chair of Neurology at Mass General Hospital. Rudy co-discovered three of the four original Alzheimer's genes and today runs the Alzheimer's Genome Project. He also plays the keyboards, including, at times, for Aerosmith. He is kind of a real life "Buckaroo Banzai."

Many people experienced in using alpha brainwave entrainment report that the state of mind associated with alpha waves is a time when they feel most consciously connected to their subconscious mind. The intense experience of hypnagogic sleep, reported by some people as a feeling of being awake and asleep at the same time, is also associated with alpha brainwaves.
When explaining this to others they frequently respond with something like, “But I had no expectation or even any idea that my face might experience flushing. I didn’t even know that was possible. Now every time I listen to a particular entrainment track that specific face flushing occurs. If it is a specific phenomena, and it only happens when I use one certain entrainment track, doesn’t that prove it is the entrainment causing it?”
Fortunately, the recommendations for exercise in the role of stress management fit with the current health recommendations (12). The proposed physiological adaptations thought to improve the way the body handles stress and recovers from stress can occur with a regular moderate to vigorous aerobic exercise program (12,13,16), such as the recommendations of 150 minutes of moderate-intensity aerobic exercise per week or 75 minutes of vigorous-intensity aerobic exercise per week. If an individual is using exercise as a time-out from stressors, shorter duration activity can serve the purpose, especially when lack of time or fatigue is a concern. Consider an individual who reports significant work-related stress. Breaking the exercise into two 10- to 15-minute sessions, one before work and one at lunch time when possible, can help combat stress throughout the day. Although there is not a lot of research with resistance exercise and stress management, resistance exercise can be used to provide a time-out from one’s stressors. Because resistance training produces different exercise adaptations compared with aerobic exercise, it might not affect the way the body physiologically reacts to stress as aerobic exercise does. However, the acute effect of a time-out to reduce stress can be beneficial. In addition, clients can receive the numerous health benefits associated with resistance training. The resistance exercise prescription for general health benefits of 2 to 3 days of exercise to target all of the major muscle groups performed at a moderate intensity of 8 to 12 repetitions can be recommended.
“Stress” is a commonly used term, and it is often used with different meanings. The standard definition for stress that will be used in this article is the disruption of the body’s homeostasis or a state of disharmony in response to a real or perceived threat or challenge (8). The threatening or challenging situation is referred to as a “stressor.” When a person encounters a stressor, the body prepares to respond to the challenge or threat. The autonomic nervous and endocrine systems respond by producing the hormones epinephrine, norepinephrine, and cortisol. The result of this hormone production is a cascade of physiological reactions that make up the stress response. Epinephrine and norepinephrine are involved in the initial changes that take place to prepare the body to react and to prepare for a challenge. These responses include increases in heart and respiration rates, blood pressure, perspiration, and energy production (8). There also is a suppression of immune function, production of β-endorphin (the body’s natural pain killer), and increased acuity of the senses. These changes make up the fight-or-flight response, which prepares the body to cope with the stressor. If the stressor is perceived as negative or more as a threat than as a challenge, cortisol production is increased. Cortisol is involved in energy production but also suppresses immune function.

The functional role of neural oscillations is still not fully understood;[6] however they have been shown to correlate with emotional responses, motor control, and a number of cognitive functions including information transfer, perception, and memory.[7][8][9] Specifically, neural oscillations, in particular theta activity, are extensively linked to memory function, and coupling between theta and gamma activity is considered to be vital for memory functions, including episodic memory.[10][11][12]