The idea of an "anxiety hierarchy" is simple and powerful.
It is an application of behavioural therapy, and is analogous to a well-designed educational or athletic training program.
In education--for example, learning to read, or learning arithmetic--a well-designed workbook would call for you to start with some exercises that you would find very easy. If the initial exercises are too hard, then it would be necessary to go to the previous workbook, and try something easier. If you can do the easier ones fluently, you can move on to the next page, and try some exercises that are just a little bit harder, and so on...the pace could be self-directed; some people might want to leap ahead quickly, others might want to linger on the easier pages, or practice doing them faster, etc.
In athletic training--for example, training for a marathon--one might have to start with just a few minutes of jogging, alternating with a few minutes of walking, a few times per week--once this feels comfortable, the intensity and duration could be increased.
An anxiety hierarchy is basically a "workout schedule" or "curriculum" for overcoming a phobia or an inhibition.
A prerequisite to engaging in this process is a clear wish to overcome the anxiety. It may well be possible to practice the skills necessary to become a skydiver, but unless you really want to skydive, you probably shouldn't do the training!
If the anxiety is social phobia, for example, the prerequisite for this approach is that you truly want to be able to interact socially with greater ease. If you have a phobia of bridges, you have to truly want to be able to cross bridges easily.
To do an anxiety hierarchy, it is necessary to consider tasks which involve your anxiety in some way, and rank them in difficulty, say from 1 to 100.
For social phobia, a rating of 100 might be warranted for the task of showing up for a group function, consisting of strangers, introducing yourself to everyone, striking up a conversation with the person who interests you most, and asking for that person's phone number. A rating of 50 might be for the task of asking a stranger in a crowded cafeteria for the time. A rating of 10 might be for reading a book in a crowded place, instead of at home. The details of how you do the ratings are up to you and how you feel.
It helps to think of as many tasks as you can along the "hierarchy", covering as many numbers as possible from 1 to 100.
The next step is--just like learning arithmetic or training for the marathon--to start with the easiest task, and practice it daily until you feel comfortable with it.
Then move on to the next harder step, and continue gradually working your way up the hierarchy. It is important to do the work every day, if possible; consistency and regularity are extremely important, just as in other learning tasks.
It is important to really take this seriously, and to put in your hours of work and practice. Just like marathon training or language learning, it won't happen unless you do it regularly, at a moderate level of difficulty, for solid blocks of time (e.g. one hour every day).
The pace of change may be quite similar to an educational or athletic task--after all, it is your brain that is changing, just the same way as your brain changes with learning anything else. Also your body learns to change--when you are more physically fit, the same athletic task can be done more efficiently, with less effort, and with less physiological stress. With anxiety tasks, your body will learn not to react with the same anxiety symptoms (e.g. racing heart, sweating, shortness of breath), as you train yourself.