Personally I feel like alot of people get into this game but they do most of their "gaming" sitting in a chair, reading this forum, or listening to material, etc.
Approaching is just like they say, the easiest to do and the most difficult at the same time... My buddy and I have been in this game for a year now and we are starting to get much better, and one thing that I credit alot of getting rid of approach anxiety is actually doing an approach... but it doesn't always have to be in a bar or day when you do it...
My buddy and I started setting aside 30 minutes before we go out to do approaches with an imaginary set. for example I'll say "Hey tim, 3 set across the room, go open them. go" ... and tim walks to the spot i pointed and runs an opener "Hey guys, i'm not gonna bug you but my friend and I are in this huge debate........ who do you think lies more, men or women?"
When you do this alone or with your buddy I promise you that anxious feeling you get in the club is the same one you'll feel in your room... SO START OPENING WHEN BEFORE YOU EVEN WALK OUT OF THE DOOR... if you do this legitimately you will feel great like you just opened 30 sets!
I also highly highly recommend this book, it has taken my game to the next level and I can not stress it enough:
http://www.amazon.com/NLP-New-Technolog ... _lmf_tit_1
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"They're playing groupie, so I'm playing rock star!" haha