The best way is to work to get rid of your anxiety bit by bit. It isn't a simple 1, 2, 3 process. Anxiety stems from a lot of inner issues that develop while you mature in life. It can stem from early childhood, to parent upbringing, or even a single event.
General anxiety can seriously inhibit living and enjoying life, be it from being nervous at job interviews, to meeting new people, to even potentially finding the woman/women of your dreams.
I was always a smart kid growing up, but I always was scared to speak up and voice my own opinion (probably why I post on blogs and forums so often). However, looking back, I realized I seriously have held back on life because of that. And, also looking back, I realized that I should of never had anxiety to begin with because it was never rationalized.
Anxiety is a reaction that we experience to an environment we are uncomfortable with. However, most anxieties are completely irrational and not justified. You have to remember that. Simple techniques to get over that panicky feeling are to just breathe and count to 10. Tell your mind you are relaxed. Mind over matter. Your mind can tell you and make you believe many things. As it makes you feel irrational anxiety, you can also switch it around and make it feel confident. By just simply telling yourself you are okay, you are confident, you are the man... It does the trick. It takes practice, but it will eventually work.
An easy way quick fix way to conquer social anxiety is to just face it flat out. Approach many many many women and expect nothing out of them. Say one thing to them, be it for the time, directions, or to compliment their hair. By doing this and expecting nothing back, you are telling your mind that nothing really bad will come out of it. So what, maybe you will get rejected, a weird look, or a smart remark. But is that the end of the world? No. You learn to adapt. You also conquered your anxiety a little bit more.
Just go out in the world, talk to complete strangers, smile at them. It all helps chip away at that cross on your back called "anxiety". It is just a fragment of your imagination. You are the only one who can help your anxiety out. So go out, and stick it to em.