I'm glad to hear that exercise has been helpful for you and would definitely recommend your continuing with that as often as possible.
As far as books go, there are lots of books designed to help people manage negative thinking (and the ways that it exacerbates anxiety and depression). Most of these books are based on what's called Cognitive Behavior Therapy, or CBT for short. You could do a simple search on Amazon.com for any CBT books and loads would turn up for you. There is also a great website called www.moodgym.com that is based on the CBT model for altering negative thoughts- it's an interactive site that you could play with and personalize for you.
It might also help for you to talk more openly with your therapist about what is and isn't working for you in the therapy. Many therapists are able to adapt their style to better suit your needs but they probably won't do this unless you are clear with them that something isn't working.
Psychologist
Doctorate in Clinical Psychology, 10 years experience working with individuals, couples, & families