They will sit down next to you and either hug you or caress your skin with their fingers. They know breathing exercises to calm you down and can easily keep your mind away from what makes you anxious.
Nemu will also be calm but unlike the others, he will just wait for you it to be over.
The panicked ones: Renzou, Rin and Shiemi.
They will get worked up to the point you may even forget what your anxiety was about. But in the end, probably after you had to calm them down, they would start to speak to you to keep your mind off of the topic.