Be responsible and find out what you are going to combine. In my opinion, you should know the name of what you are taking and basic info about it anyways, don't leave all of the knowledge in your doctor's hands.
I have struggled with anxiety and depression as well, I don't know anything about Salvia (haven't tried it yet), but taking any entheogen with such head problems is really taking your life into your hands. I would recommend you just experiment with weed for a while; take every kind of dose and every form of ingestion possible, really get to know the plant/chemical. When you feel experienced with that (and perhaps by then you will have sorted out your anxiety?) then you should move on to something a little more advanced.
I also suggest you ask your doctor about getting blood tests done, anxiety isn't always caused psychologically, for me it was a chemical imbalance that is easily remedied with supplements. And the best cure for depression in my life has been mushies

Good luck!