The idea is to complete immerse yourself in what you fear most. To experience it and keep on experiencing it until your brain gets the message that ‘actually, this is not going to harm us after all’.
You should prepare yourself with the distraction, breathing and relaxation techniques already discussed.
You may decide to put yourself in a situation that you can’t get out of.
An example, which is not specifically to do with anxiety, is the charity parachute jump, quite popular with corporations keen on team building.
Interestingly, a large proportion of people who sign up for this have a fear of heights. The group approach and that it is for charity, adds a social pressure that keeps people going. Concentrating on the exact technique, as it may be life saving, acts as a powerful distraction.
I had one patient that signed up for a tough, three week adventure holiday to help him overcome a severe social anxiety. It proved very effective. Though this techniques is not one I would recommend for most people.