I've actually made quite a lot of progress.
I can, usually, hold a conversation with people pretty well. I have a decent job, bought my own home two years ago, I've made a few good friends. Of course there are still moments when those anxieties kick up, and it's been a pretty rough couple of months for me.
I've worked with a therapist, I've been on four different medications, none of that helped. The only thing that helped was forcing myself to do things that would cause my anxiety to spike. Exposure.
Exercises can be as simple as going shoe shopping. I tried to have some fun with mine, and make myself feel as uncomfortable as possible. I probably wouldn't recommend mine for everyone, lol. I did some pretty ridiculous stuff, but it worked for me.