I think a nice, calming environment where the lights are low and there's some gentle, soft music sounds good. I worry a little about the fact that you say she has some anxiety issues, because folks like that strike me as more likely to freak out as first-time smokers, but let's hope that's not the case. Make sure she doesn't smoke real heavily the first time, and make sure you're in an environment in which she feels secure before you begin. Good luck!