Unless we are referring to activities that prevent boredom, stress is generally not something that is consciously developed. Indeed, stress is more like sticking your fingers into the electric outlet - it's hard to let go until you're fried.
With sudden threats, there is almost no stress development; our physical bodies take care of everything for us. However, because modern day threats are generally of socio-psychological nature, we have to make a conscious effort to override the bodily mechanisms of stress.
When a modern day threat is given an inadequately higher priority - at this point stress begins to develop. One bad assessment leads to another, and another, and another etc. until we finally notice that something is very wrong.
It can be quite hard to influence the pressures that assault us, but it is much easier to adjust our attitudes and priorities on a psychological level. The development of stress occurs when conscious decision-making takes the background and decisions are made from the survival oriented subconscious.