I doubt that you are actually holding your breath. Could be but it is the same thing that would happen to me. I was fine throughout all the prep but when it came time to train I would be gasping for air.
Like Mark said it will come with time. The biggest thing I think is to really try to relax while not getting your head ripped off.
I know that sounds retarded but it is real. What I see most often and what I know that I was doing is that you have so much tension in your entire body that you just gas yourself.
I had to really work on learning how to not muscle everything. You use your strength but apply it only when you need to. Once you get more accustomed to working from the different positions and learn a little more defense you will be surprised at how everything changes.
Like I said before email me or call if you just want to talk through it with someone who has been there before.
Sounds like you are making progress and that is all that matters. Keep moving forward. If you haven't already you absolutely have to order Roy Dean's latest DVD. I am pretty sure there is a link Robb posted in this forum. It will really help a ton.