What to do when having a panic attack?

Several things: Panic attacks are very frightening.The first thing I advise is slow deep breathing. Sometimes panic attacks are related to low blood sugar or dehydration so slowly drinking a glass of water and a piece of fruit may help. Lavender oil can be calming; consider diluting a few drops in water and spraying or adding some to a hot bath. Bach Flower Rescue Remedy drops really help some folks. See comment:

Panic attacks: If you can find a quiet place - do so. Breath in slowly; deeply through your nostrils. Fill your lungs with air (but not to the point of discomfort). Hold for a count of five then slowly begin to exhale through an open mouth. Repeat at least 12 times, longer if you need to.