I took CBT all the way back in 2005, and still use it, although I am far from "cured". I think the biggest thing that I learned was my distorted thinking patterns (mind reading, seeing things in black and white, using "should" statements etc...) and countering those thoughts with logical and reasonable assertions. For example if I think someone is rejecting me, for whatever reason, I would then mentally list possible reasons that are not...eg, maybe they are having a bad day and its nothing personal, or that they think maybe I am rejecting them... thats just one example but you get the gist I hope..
A really good book you should try is the feeling good handbook, its got tons of cbt stuff in it that really helps, its a like a pocket psychiatrist..