These exercises can be embarrassing at first, but that’s the point of doing them. You need to feel the discomfort and be fine with it.
Try the following exercises in order to increase your comfort zone.
Hold eye contact longer than it’s comfortable.
You can practice this with friends or with strangers (in public places). Simply, don’t be the first one to break eye contact. Try to hold the contact much longer than you normally do.
Experiment with personal space.
Move closer to people than is comfortable for you, for example, in the elevator.
Start a conversation with a complete stranger.
You can do it in an elevator, or maybe while standing in line for a coffee. For example, you can ask the next person in line which cake they prefer because you cannot decide.