Why is this important?

This is important for two reasons:

Our thoughts, feelings, emotions and behaviour all connect. So if I think anxious thoughts, I can make myself feel more anxious. If I have tense, anxious feelings in my body, I will tend to think more anxious thoughts.

It follows that if I think calming, relaxed thoughts, I can help myself feel less anxious.

If I can change what I think, what I do, or how I feel in my body, I can begin to reduce my anxiety.

So, if I change my thoughts and my behaviour, over time my emotions and feelings will change.

The second reason is that it's much easier for me to change what I think and what I do than it is to change how I feel. Yet if I change my thoughts and behaviour, my feelings will follow!