For me therapy has worked. I always had a ton of anxiety of how I was perceived in social context and it would cripple me. Therapy put into context how skewed those thoughts were and through therapy I learned techniques to overcome the wave of anxiety.

Also, here is a less cliched answer. I do interviews at work and have to do a behavioral one. I feel like it's given me a lot of practice with just meeting people for the first time and striking off a conversation. I've used those skills in my day to day life and it works great.