CBT is a well-researched treatment for both panic disorder and depression. Most people who engage in this therapy and stick to it experience considerable relief of symptoms and feel more in control of managing any future symptoms should they arise.
That being said, it is important to talk with your prescribing doctor about how to wean off of Effexor XR if you're going to do this. It sounds like the Effexor is not working very well for you and so this might make sense to do, but weaning off of antidepressants (particularly Effexor) can bring up side effects for some people that are unpleasant (dizziness, sadness, etc.). It is very important that you talk to your doctor about how to do this safely.