You mentioned that you have been on Effexor (Venlafaxine) in the past, so I can only assume that it worked well for you, otherwise your doctor wouldn't have started you on it again. So that is in your favor.
You didn't mention how many mg your physician is starting you on. The usual starting dose of Effexor is 75 mg. Effexor is a serotonin-norepinephrine reuptake inhibitor (SNRI) classified anti-depressant. If your main problem is that of an anxiety disorder, you may wish to start the Effexor at a lower dose, say 37.5 mg, which can help to lessen any possible start-up side effects. When an SNRI anti-depressant is started, serotonin levels in the brain increase immediately. Some individuals will have no or limited side effects, some more severe, but side effects are usually limited to a few weeks, as the body adjusts to the medication. Plus, you have Klonopin to help you over the rough spots.
If you had any side effects when starting Effexor in the past, they may differ this time, so just be aware of that.
I know that it can be somewhat scary, starting on an anti-depressant, but millions are started on anti-depressants each year, with good results, and you have been on the Effexor in the past, so give yourself a pat-on-the-back for being a pro.
Good luck to you, De. The very best!... Chuck