Oh yeah, that's the right way to improve! Exposure therapy is probably the hardest but also the most effective way to improve. I like exposuring myself with little but decisive steps. Like looking other people longer in the eyes, asking more questions to my course instructor and generelly trying to be more assertive. I also try to overcome my anxiety by doing things I generelly fear (like visiting new gyms or locations). The first step we have to make is to accept that we all experience much anxiety in specific regards. This is okay. We just have to confront ourselfs with them. If we do it, will not only overcome our anxieties sooner or later, but we will also feel a little bit more ALIVE in our half dead livelihoods. Yes, notice that fear is also something that keeps inner emptyness at a bay. If you also confront yourself with your fears you will also feel mentally stronger and alive afterwards.
I'm happy you have the support of your therapist, dear thread starter, since exposure therapy is something really hard to do on your own. You need someone you can relate to and count on, that will permanently motivate you to keep practicing. Otherwise, there is a chance you will be disappointed, give it up and be even more sad in the end.