For those who have a problem approaching women the cure is very simple. Buy yourself a pack of cigarettes and ask for a light every women you see in the club. You won't even need to say anything , just go to her with the cigarette in your mouth and gesture you want a light. Those who have it , just say to them "forget it , I saw a friend".
Repeat the above until you find yourself opening any woman without feeling anxious. After the fear is gone drop into "game".
I decided to highlight this one because I think this is the kind of "crutch" that can really help people. When I gave seminars on club game, I had a section in which I told guys on how to deal with social pressure, and advised them to actively seek out (realistic) situations that make them uncomfortable, and "practice" them as long as it takes to get comfortable in them. Of course I wouldn't recommend people to strap a dildo to their forehead (pioneered by "Hypnotica", if I recall correctly), wear boots with ten inch soles (Mystery), or act as if they are gay (Mehow).
For people with little experience it can indeed be daunting to initiate conversations. If you never do this, then you'll probably have a hard time asking out that hot redhead who always sits down next to you in class and regularly asks you for a pencil or a sheet of paper. In this case, it can indeed be helpful to just to simple things like asking random people for the time or directions.
If you lack experience with social interactions, then those are indeed some of the "foundations" you should take care of first.