Hmmm... it seems your son has problems that go well beyond separation anxiety and school anxiety, if he is exhibiting these symptoms: "He has hallucinations. He sometimes thinks he is Jesus." - I presume his physicians and counsellors are aware of this?
The "anxiety" symptoms you are describing sound like they may be a condition known as PAT or paroxysmal atrial tachycardia - where there are episodes where the heart beats rapidly and "pounds in the chest" to the point where the chest area becomes painful if the "attack" is prolonged. These episodes are typically related to stress and anxiety and can often be helped, both in terms of reducing the frequency and in terms of shortening the length of time the episode lasts, through various techniques that encourage relaxation and slow, measured breathing (once an "attack" starts, the breathing patterns typically become abnormal and may lead to hyperventilating, which tends to exacerbate the "attack").
He asks me if he is retarded. He does not "get" his school work. He cries when he sees another child being picked on. He also has anger problems. I feel helpless and guilty that I can't help him and that I am exhausted by him. Does anyone know of any other reason that this may be happening? He is not stupid and he is a very good looking boy. He has a learning disability
What sort of learning disability? What are the symptoms/impairment? Has he been evaluated for attention deficit disorder?
I'm also wondering about whether there is any family history (extended family, inlcuding cousins, uncles, aunts, grandparents, etc.) that might be linked to or similar to what your son is exhibiting.