Thanks for all the advice! This forum is fast to respond!
I do have a few Action Support folders that sit in another tray, but so far I haven't been using them much. Currently I use them for active projects that I run or am a resource for. I don't have one for personal stuff in the office (such as bills etc), maybe I should add one. I guess my concern is that is just another place to remember to look (I already have 3 physical inboxes and a few digital ones!). I will try and make more use of them, I guess the items moved to the Action Support folders are captured in a list anyway...
Regarding the other point: I think I get a bit of anxiety when picking up an urgent task immediately without processing it in a formal way. But then I get a bit of anxiety if I spend too long processing and not actually 'doing'!
Hopefully these worries will fade away as I form more positive GTD habits. I am grateful to hear that other people struggle to get it working as desired!
After reading the book 'Willpower: Rediscovering the Greatest Human Strength' (with a section on GTD!) and the 7 habits book, I can see how habits are the key to GTD running smoothly.