Very often the monitoring helps to reduce catastrophic thoughts and imagination about a continuous worsening of the severity of the symptoms or major health related consequences (e.g. getting an heart attack, stroke or severe breathing dysfunction). With this kind of self-monitoring most patients learn to identify specific thoughts or situations that trigger the anxiety.
There are different ways to start a self-monitoring. Talk about individual solutions with your therapist.
One very good online version of a diary for panic attacks can be used for free: The Canadian webproject The Panic Center offers this tool together with a comprehensive questionnaire about anxiety and depression, a great cognitive behavioural therapy program (for free!) and a forum for self-help issues.