Hate to sound rash but what helps me is honestly to "not give a fuck". If I ask a girl out for a drink and she says no, who fucking cares?
You sometimes have to put yourself in the position where you feel uncomfortable, until you get used to it, and eventually take control of it. That's when the confidence oozes.
For me, I taught myself how to play guitar/bass, joined a band, performed in bars/banquet halls/venues etc.. I feel like this helped me out a lot with having confidence in other areas of my life.