For me personally, I find the best setting for LSD is at home. It's somewhere where you don't have to worry about looking fucked up, and you have access to anything you need to keep you in a comfortable physical state ie. food, blankets. Having Xanax available just in case of a bad trip may ease anxieties, but I wouldn't recommend taking Xanax if you want the full psychedelic experience. I have no knowledge with regards to opiates and psychedelics so I can't help you there.
If you're going to do it with people make sure they're people that you trust in case things go wrong. I've never had experience doing LSD with the wrong crowd, but worrying about being laughed at, looking stupid, and feeling helpless would be absolutely horrible sober never mind being on LSD.
Just remember that it's the drug making you feel/think the way that you do and that it will eventually end. Anxious thoughts are generally manifested by the anxious state and not by any real dangers. Just let yourself be taken away by the experience. Music is also phenomenal, but it may get disorienting at higher doses.