Over the years, I 've done about 50 sessions of Acupuncture, enough to know if it worked for me or not... AND.. looking back, I think the massage, for which I have also had a lot of, worked much better.. In fact, I went to Acupuncture for anxiety and although I felt calm to some degree, I always felt much better after the massage.. Does it hurt you ask.. it depends on the needles they use.. IF they use the fine Japanese needles (which are more expensive and thus, the reason they avoid using them) then I found it to be seamless, LESS.... when once the needles are in and they kinda jiggle them around to get the CHI flowing.. :) the other needles, although still fine, don't hurt in as much as depending upon the area that they are administering to (like say around the ankle area) then those areas can be tender... overall, I don't think it ever hurt, but was a slight discomfort here and there, nothing to fear though.. well in my opinion..
what's really helped me with anxiety has been the massage AND.. some light meditation.. oh it needn't be some OM session for hours in a cave :) just taking 5 to 10 minutes out of your busy day to calm the mind... I also do this right before I get up in the morning or during my morning cup of coffee... I just sit quietly and breathe and actually take that time to remember all the things I thankful for.. (that's just my ritual)
Acupuncture can get expensive, however if you have insurance that is willing to pay and a provider who will accept, then I would try it.. if not, I personally don't think for the amount of sessions it takes to feel the difference is worth the cost, when massage is more effective..
why did I personally go so many times?? I was just young and naive and kept thinking, oh this is eventually going to work.. it does have it's merits as some will suggest to you... and while I like alternative means.. if money is an issue.. then stick with the massage and meditation..
good luck