Anemia will definitely make you more winded. Make sure to also drink enough water. Going on all fours help make room for the lungs for a while. And be sure to breathe slowly even when you're breathless, as much as you can. If you feel like you're out of breath, you tend to breathe faster, which will cause too much oxygen in your brain and make you light headed.
The only other thing I know can help is a prenatal massage with someone know knows what to do. I had one with my last pregnancy who massaged the muscles between the rib cages from front to back and it helped with breathing.