firstly, yet again you are worrying about something that will not get you in trouble. You are only getting benzos from one soruce, not several so it wouldn't constitute doctor shopping.
You getting an antipsych from one doctor and benzos from another doctor will not raise any red flags with medicare or whoever oversees this sort of thing.
there is no point in telling the other doctor. you obviously want to keep getting the benzos, if you tell him he might cut you off.
BTW. Are you wanting these primarily to sleep? if your main problem is insomnia, there are alot more effective treatments than benzos in my opinion. I always had good luck with stilnox and imavane. not as addicting, and little potential for abuse. I'm taking restavit atm, because I am going through SSRI withdrawal and having a bit more difficulty sleeping. Its pretty good, and its just an antihistamine. There is a whole thread on insomnia floating around on the first page.
I still recommend you go see a psychologist, and engage in some sort of therapy outside of benzos to treat your anxiety. It is the healthiest way to do it, and much more likely to fix the problem rather than just deal with the symptoms.