Desensitization Training and Exposure Therapy are two such techniques.
Watered down versions of these two treatment methods are often used in some form or fashion when treating more diffuse or generalized forms of anxiety disorders, such as social anxiety. The essential mechanisms are the same: learn relaxation skills and then pair with the feared event or object.
I am going to play lazy today and give you a link to Michael Murrell, Psy.D.'s blog post (click here) where he describes Desensitization for Anxiety. So please check our Dr. Murrell's post if you are looking for help with a specific phobia. It's important to be guided through the correct procedures by a trained professional in order to find treatment success. Reviewing these techniques and then asking the psychologist you are interviewing whether she or he uses them to treat phobias is a great way to insure you find the proper treatment for your fears.
The core of desensitization involves first pairing, and then replacing, feelings of anxiety with feelings of calm. Learning to relax is a necessary first step toward applying desensitization. Deep breathing is one type of relaxation exercise often recommended. You can check out my previous post which describes a particularly effective form of deep breathing that I most frequently suggest, here.
Additional resources:
Some good advice here that applies to driving phobia.
Anyone who has seen me for any length of time
will agree I should hang this cartoon on my wall
(thank you, Natalie Dee).