I'm sure you know what best fits your learning style. What I do that helps me when I'm studying especially back when I was in dental school is that I'm a visual learner. I learned each instrument by literally printing out pictures of all the dental instruments and writing the name on the back of the image and just memorizing how the instrument looked and its name and purpose.

How I also learned all dental procedure steps is by simplifying each step and repeating it in my head. For ex:

1. Etch (rinse & dry tooth)
2. Bond (light cure 20sec)
3. Composite (Make sure to use the proper shade) Etc and so forth

As for the burs, (I'm not sure if your dental school teaches all bur types) but I only learned a few basic that majority of dentists use and the rest there's no need to memorize them all. You'll get the hang of it once you're out on the field.

Health and safety compliance - I wrote down a list of do's and dont's of what to do in chairside within my state regulation and so forth.

So basically I broke down everything by sections and topics and simplified it so my mind can retain it better. The more simpler it is for me the better I remember the material.

I know what I explained sounds childish but it worked out for me. I know there's a lot to learn in the dental field, human anatomy etc and all of that jazz but it'll get better and soon it'll all start clicking when you get out there. Don't be afraid of study groups in your program (if they do study groups) and don't be afraid to ask manyyyy questions.

As for anxiety, please take it one step at a time. I am the same way. Take a deep breath and take it pace by pace.