Shyness is an unbelievable waster of human life. Its costs are enormous, and not only to the person who is shy, but also to those who are close to him or her. Worse, shyness often comes across to others as haughtiness or coldness. E.g., the shy person, when leaving a gathering, tends to think, "No one will notice if I leave, so I won't go saying good-bye to people -- that would be too self-important." And then after he has gone, other people say, "Where's So and So? He left without even saying good-bye? What a jerk!" All this is just to say: yes, you should work on doing something about it, and keep on working on it for all the rest of your days, because any slackening in the struggle will cost you.
I say all this on the basis of observation of my own case. I wish I could offer some pointers, but I could do with a few myself. I think that 36DD's advice is the best given so far [edited to add: I wrote that before JustAsking's excellent advice appeared in another post]: pretend (in some particular situation or other) not to be shy. I have managed to do that sometimes. Like most shy people, I am shy in some situations and not in others, so it is a matter of trying to behave in the shy-making situations as if one were in a non-shy-making situation.
On the other hand, making that work when the situation is getting a conversation going with a person of potential sexual interest is quite a tall order. To pretend not to be shy, you have to have things to say. That is hard to do when your brain is paralyzed by shyness, and all that comes out of your mouth are things that make you appear nerdy or weird or questions that don't give the other person any opportunity to say anything interesting. (Numerous painful memories attach themselves to these words in my mind.)
I am doubtful of JohnSchlong's recommendation -- the "get drunk" technique. I would say that it is very risky. A bit of alcohol can certainly help loosen one's tongue and calm one's fears in some situations, but it can also make one babble stupidly and boringly.
Jason_els, I have found your posts to be among the most thoughtful on this forum, but in this instance I don't understand what you are saying to No_Strings. You seem to be saying that having an attractive appearance somehow "contradicts" claims of being shy. I don't see what the two have to do with each other. Shyness is no lighter a burden for those who are well-favored than it is for the less well-favored.