1st off, don't try approaching without having any social skills yet. Gradualy build up your social confidence first if u like have social anxiety.
Then, you just do it, u accept the fact that the first, second, third, 50th approach will proubly get you kno where. Its always good to approach in a setting your comfortable in. I always find the easiest part of an approach is the actual approach, my nerves start to fade as i'm talking to the girl, the real nerves are before hand. I'll admit ive never got anything out of a cold approach in school or whatever, but it helps build confidence.
Basically before I approach and I need a shot of confidence, the best thing is to take a look in the mirror and give your shoulder a nice punch right where it hurts.
But like I said never expect much out of approaches at first, its rreally only good for building confidence. And remember, social skills first.