I have just started gaming about 3 months ago and since I'm in college I have it a bit easier. However, what really helped with approach anxiety is to just start off easy and get the ball rolling. One thing I did when I started out was that I would always try and talk to someone I never met before on the bus or something and start the conversation off situationally like:

"Hey, I never seen you before on this bus!" (say it with either a slight smile or a curious face)