I can compare. I over think just about everything nowadays - whether it is a decision in my career or relationship issues. Obsessive thoughts and assumptions are what really troubles me. And like you I get anxious easily, both when I am bored and when I am facing a physically or mentally daunting situation. The best thing I have done to get through it is just to push through those thoughts in your head and the anxiety you feel. They're just that, thoughts. They can't hurt you, they can not do anything on their own. Especially when you are trying soemthing new, you are going to feel anxious, fall down and have to pick yourself up. It is a learning process. You have to take some risks and push yourself in order to reep the rewards and experience success. You can't just expect yourself to be great at something as soon as you start. Try meditation to calm your mide and control your thinking patterns - I am about to pick it up myself. Or maybe even going to talk to a therapist in order to learn to control your negative thought patterns - which I also have an appointment set up in the next two weeks to do. Lastly, here is one of my favorite quotes of all time that applies directly to your, and everyone else's lives:
“Whether you think you can, or you think you can't--you're right.” -Henry Ford
Become a politician
Join the Democrat party.
You mention skiing. As you might guess from my avatar I am an avid skier (no that's not me in the pic, but I was a competitive racers for years).
One of the things I enjoy most about skiing is that I actually stop thinking and focus more on feel. When I am on the hill, everything else just disappears. My family, my job, money issues, POOF! It's just gone and all I do is focus on what's going on.
Now I understand that you are at a different level, but maybe you can find something else that allows to concentrate on the moment.
You should check out the book "Flow" by Csikszentmihalyi. It's a classic.
Flow is the state of mind that you seem to be aiming for, where there is total focus, anxiety disappears, and performance is almost effortless. And to get to that state of flow, you need to have an activity that has a series of gradually increasing challenges, which are appropriately matched to your skills (which will also gradually increase).
There is a bit about it here: http://en.wikipedia.org/wiki/Flow_(psychology)
BTW, skiing is great for finding flow.