Smoking in moderation makes me feel much better. In the past I've smoked way too much and started having paranoid thoughts about my friends laughing behind my back (which they probably were, even if it wasn't at me, seeing as they were just as high as me), but I still managed to stay somewhat grounded. While alcohol's anxiolytic effects increase with intake, the effects from smoking seem to plateau off at a certain level and at higher levels of intake, they disappear completely and it starts having the opposite effect. That's my experience anyway. The type of weed you're smoking has an effect on this, I find sativa strains are far more likely to increase your anxiety when you smoke lots of them, while indica strains seem to have less effect on anxiety, both decreasing and increasing it. Though, even when I start having aforementioned increase in anxiety and paranoid thoughts, my inhibitions are still lowered, so I can still function better socially than when I'm sober.
Your mileage may vary though. Personally I don't think it's a good idea to rely on any kind of substance. The only time I'd use any kind of substance (usually weed or alcohol) to reduce my anxiety is at a party where other people are doing it anyway, or for recreational use/relaxing. I'd never want to self-medicate my SA with any kind of substance on a regular basis though, even with something as innocuous as weed.