I've done it for about a year and a half. It took away some of my minor anxieties, such as asking for stuff in a store, entering a classroom when everyone's already seated, etc. Other homework that my psychologist gave me, however, I never did because... well I just couldn't bring myself to it. It was too hard for me. This included suggesting going for a drink with classmates, giving people compliments, ... In the end I just quit because it was draining me financially (40, later on even 45 euros for a 50 minute session) and I didn't see the results I wanted.
It might work in your case, though. If you do the homework that they give you, you ought to see results eventually. Maybe get an official diagnosis first of what you're suffering from. I went there thinking it was just a case of social phobia, whereas in the end I think it might've been more than that.