I think the most important thing to do for social anxiety is try everything because many different things work for different people. Keep your mind waaaaaaaaaaay open and every little thing that comes along and claims to help, try it (as long as it's not dangerous). With all of the things that I did to help social anxiety, I was also doing to help my depression which I think is equally as important to overcome.
Personally I went to therapy a year ago, and that helped me see the problems. That's about all it did and I didn't progress from there.
I did light exposure therapy also (go outside every day, for instance) and that does work a lot as a way to build the habit of going outside, and feeling more comfortable in public.
Also self talk is important. Learning to really love yourself and talk to yourself like a beloved friend. Realize everything you do is to try and love yourself even if it's harmful, practice forgiveness. This will avoid feelings of guilt and shame.
Things that worked best for me personally is a more holistic approach, supplementing with vitamin D and B12, making sure I get more than enough magnesium every day... Omega 3 fatty acids.... lots of sleep to take care of adrenal glands, and most importantly an anti inflammatory diet, low in sugar and gluten-casein-free that will shut off your excess cortisol and adrenalin production. I have also heard mercury toxicity being behind some people's social anxiety and depression. There are lots of things in the holistic way of looking at things that can be behind a person's disorders, but it differs for everybody. However there are some things that are more prevalent than others for certain conditions.
Release old deep emotions from the past if you suffer from post traumatic stress disorder from a particular event. Cry, scream, shout, whatever you need to do to connect to the trauma and let the bottled feelings out. Then forgive whoever helped to create the trauma, forgive yourself for anything and for bottling it up, and make peace.
Lastly looking at your past and realizing where some of your harmful patterns and habits come from is very important. Then building up the picture of how you want to change these patterns and creating new habits. Start with the little things.