My 8 Year old shihtzu has seperation anxiety!! He has jumped out of up stairs windows .What can I do?

My lil shistzu has developed separation anxiety, it started as soon as I got him , he cryed and cryed for weeks leaving him in a crate, Trying to crate train him. He has jumped out of truck windows and upstair windows trying to get to find me. I have to put him in the basement when I leave and he tries to go out the bilco doors , lucky for me hubs has a good door in front, but he has scratched up all my doors and window wood work!! What can I do??