I would like to share my way of making your Approach Anxiety work for you.
Most PUA, including Mystery, say that each and everyone feels approach anxiety no matter how good or experienced you are. And he teaches us ways to overcome it and show the illusion of confidence. What I suggest is to turn this negative feeling into excitement.
How can you do it?
Pretend that you are about to meet your closest friends and your gf after a long trip. These are the dearest people in your life, you trust and love them more than anyone in this world and so do they. And now you know that they are waiting for you at the airport. How are you going to feel? Excited! Very very excited! You can't wait for it, you are overwhelmed with positive emotions! How are you going to meet them? What attitude are you going to show and what attitude are you going to get from them?
So every time you approach a new set, project yourself to this situation. Think of the obstacles as closest friends and your target as the love of your life.
The trick is that you will still feel this anxiety, but how are you going to take it? It feels exactly the same guys! Embrace this feeling and convert it into excitement! Simple as that!
I mean take masochists for instance. They enjoy pain, but do you think that they feel it in a different way than we do (those who suffer from pain)? Apparently not. So that's the same thing.
And if you do so, the set will open and you will not feel any discomfort, you are just happy to see your closest "friends"!
I tried this many times and guys, it totally works! Threat your set as your closest friends and they will respond the same way!

Good luck guys!