I've been participating in CBT for the last 2 years (1 visit per month).
I think the biggest things that have helped me personally, have been;
1) Learning not to
ruminate.
I used to worry and go over and over things in my mind. I've learnt to be aware of ruminating too much. I now 'give myself' 5 minutes to go over thoughts on something that's happened, then I will let it go.
2)
Thinking more externally.
This one is huge.
A large part of SA is thinking 'inwards', or almost thinking what other people are seeing you as, how they see you. The key to this one is to focus more 'outwards' or externally.
Relearn how to worry less about what people are thinking specifically about you, and think more about what is happening around you.
3)
Mind reading, or more specifically, not to do it.
Another huge one.
When we have SA, one of the traps we can fall into is thinking we know what other people think of us. We can't possibly know what other people are actually thinking, we cannot read minds, so why do we do it?
Finally,
Being aware of our own thoughts.
Sometimes we need to look at how we are seeing the world around us. This can be a tough one, because it requires us to look at the way we are thinking and admit it's faulty.
Social Anxiety is a learned way of thinking which usually has become set in over a few years. We can improve, but it's not easy.
We have to persist and be open to the fact the way we can sometimes think can be wrong. The true test isn't even realizing this, it's whether we can unlearn those negative thinking patterns, and relearn better ones. A psyc can show you the way to improving, but it's us who must walk down that path.
The old saying rings true in this case; You can lead a horse to water, but you can't make it drink