It sounds like you did a lot of preparation beforehand, which is a really awesome way to approach your first sexual experiences!
It's crummy that you're having to find out first hand that, for those of us with anxiety disorders, sex ends up being yet another place where anxiety can get a grip on us. You're already doing one of the main things we recommend, which is using techniques you've learned with your therapist to manage these fears. Too,if you're still seeing them, have you spoken to your therapist about these specific fears around pregnancy? If not, is that something you'd feel comfortable doing?