I don't know if I can offer any support on this, but I may as well give some ideas of what might help you out a bit. Personally, deep breaths can be amazing. I only get very nervous before and during a presentation, where I'm literally shaking, or close to puking, lol. The best I can do is remind myself of why I have to do it, and remember that no one's judging me and the like.
In your case, you said you were worried about the hard work. Well, try to keep yourself busy. Maybe stretch early on in the day so you can remind yourself that your muscles and body will be ready. And just continue reminding youself that the 'pain' is your ability getting better. Your muscles are getting stronger, and you're improving.
And when you ARE swimming, how do you feel? Do you hate it when you're in the water? Or are ou only focused on getting better and just enjoying swimming? If you do enjoy it, and you like it... just remember that when you're in the water, it's GOOD, and not something fearful :).
And at the end of the day... how many Wed and Thurs have you been through? After your swim lessons, are you only thinking, "God, that was horrible..." or is it more towards the side of, "I got some good exercise and practice in today".
I dunno, just a thought. And, I think deep breaths does wonders sometimes :). Or otherwise, taking a hot or cold shower just to wash away the anxiiety for that bit :). And when you get the chance, as you psychologist about it, and see if he or she can give you any good tips :).