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I find I'm really good in places where I already know people, but whenever I step out into places like bars/clubs/malls/ect... I get horrible approach anxiety. I know everyone gets this, but even after I've forced myself to approach, it's like I forget everything I know and I just stumble around. Even if I go out with friends, it's even worse because now I won't approach because I think I look stupid. Going out alone has helped me approach more, but I still get stuck. Not sure what to do to get past this...
Well, one thing that should help you a big deal is to go sarging in a venue where it actually is "socially appropiate" to talk to strangers, e.g. bars, clubs, etc. If girls go there, it IS to socialize. Malls and other daygame locations are also good but way more difficult for newbies is you ask me and cold approaches feel MUCH colder.
Another thing is your mindset. Do you suffer from uncontrollable angst when talking to the cash register lady at the supermarket? And other guys? The bus driver when you have to buy a ticket? No? Well, guess what, that is due to your EXPECTATIONS. Look, wrap your mind around the following: When you open a set and talk to them, you are not doing it because you are a creep who wants to get laid. No wonder you would get nervous. Who wants to be that crazed sex maniac approaching strangers on the street for creepy reasons? That's just one step above becoming some random trenchcoat flasher! The reason for opening that set, specially in your early stages of development is PURELY to improve your social skills in the field. Callibrate yourself. Play a fun little game. That's why it's called the game. It's not big deal, remember? Just go over for a nice little chat. And hey, you are a guy! So if said chat happens to evolve into a pick up, isn't that kind of natural? And isn't love a beautiful thing? Not like you are likely to be THAT successful in your first approaches anyway, so no need to worry about this. You are not going in there to take advantage of anyone. Nor to be a creep. You are going in there to get into a talkative mood, fine tune your social skills and callibrate yourself. Self improvement, that is what drives a PUA to the field day after day. And I don't see why any of your friends would make fun of you for that.
And, lastly, and I know I might get some shit from some of the forum members for this, alcohol is your friend here (obviously only during nightgame, duh!). Specially in the early stages of development (i.e.when you are just mustering up the courage to go up to a set of girls and actually start talking to them. Once you have gone through it a couple of times you will see it is nothing bad at all and actually kind of fun).