yes, i would get it out. depression, mirgraines etc are official side effects of mirena - of course, not everyone gets side effects but for those of us that do get them, they just seem to get worse and more complicated with time. i didnt get the anxiety and Depression but i did get migraines which lead to numbness all down my left side and has left me with other problems, even though mirena has now been out since the middle of May. Do yourself a favour and don't put up with those symptoms any longer. Just tell the doctor, even if he/she doesn't believe that it is mirena causing your problems, that you want to try the mirena out and see how you get on.
in the meantime, try drinking Chamomile tea, which is calming on the nervous system, and make sure you cut out normal tea and normal coffee which can aggrevate anxiety problems. alcohol is a depressant, so for the next few weeks while things are normalising in your system again, make sure you dont drink alcohol either. Stick to a good cleansing diet of lots of extra fresh fruit, vegetables, salad and a little protein in the form of lean meat, oily fish, tofu and brown rice and lentils etc.
Hope for your sake you get this thing out fast and that you are soon on the road to recovery. Some people feel better quickly but for others it takes several weeks so be patient, but remember there is light at the end of the tunnel. You are not crazy, it is simply the chemical imbalance which mirena is creating in your sytem. good luck:)x