The playmate is a good idea, but there are herbal products made for anxiety like Rescue Remedy. It is available at most health food stores for humans, but I don't know if it is a different formulation, but it is the same name. Drs. Foster & Smith sell it for animals. They sell several calming herbal preparations, some disguised as treats. If the anxiety is very severe and the herbal remedies don't help you may want to talk to your vet about prescribing clomaprazine (? something like that).
http://www.drsfostersmith.com/pic/ar...id=183&aid=533