First of all, smoking more than 10 cigarettes a day increases your likelihood of actually having anxiety in the first place several fold over. Many people have found great reduction in their anxiety by quitting smoking cigarettes all together.
With that being said, yes, smoking cigarettes after you are on alprazolam will decrease its effects substantially. This is no bullshit.
It's also better to save alprazolam for the night time anyways (IMO), so try to get the last cig of the night in before you dose, and you should be fine. Quit smoking too though, it's for your own good (that is, if you care about your own physical health even a little bit). Finally, 2mg alprazolam / day is pretty sweet, if I were you, I'd quit smoking cigarettes to just do alprazolam. That way, your anxiety will be as low as possible (as long as you don't abuse the shit out of the xanax, so you don't have rebound anxiety, and remember to taper before quitting it).
I'm on 0.5mg alprazolam right now, and it's a beautiful feeling. 0.25mg and I can feel it, but it isn't all that great. 1mg and I'm having hypnagogic hallucinations in my sleep (


), I would rarely even consider taking a whole mg of it.