Mediation and breathing techniques can help. They aren't 100% but I feel they help alot better after practicing more. I still avoid costco like the plague on the weekend. I go during the week instead because it's less crowded.

I use to care and be self conscious, as I get older I just care less. What is it that makes you feel anxious? You will pass a lot of people every day, everyone has their own anxieties and issues. There have been numerous studies performed and it finds that people think other people are paying attention to them, when the truth is they are not. I know it is easy for me to say don't care and be free, not knowing your circumstances but a lot of things in life don't matter and this distracts us from things that do matter. Meditation is an old technique to help give you this introspective, but takes time and is a good long term fix. Alternatively get medical prescription for LSD or THC to get a micro-high. This doesn't get you off your face and transcending into the astroal plans in the stratosphere but takes the edge off so you can go about your day. Good luck.