Op these people are just going to pull your leg or tell you to read the Greeks (you don't have to).
Personally what has helped me the most isn't necessarily the reading itself, but the reflection of what I have read. For instance if I've read a passage or even just a line or two from Nietzche, I can go lay in bed and reflect on how that passage is correct, how it has problems, how it could be refined, and more importantly how the refining of this idea that he's written could potentially help me.
After reflecting I go and write (paper and pencil is best no matter what anyone else tells you, it really solidifies the information in your head) my refinement of this idea, and how I can use this idea/philosophy to aid in what I want. That's the most important, you have to know what you want, but you have to know SPECIFICALLY what you want. It can't be something like "i want to worry less", it has to be more akin to "i don't want to get nervous when I give a speech" or "I don't want to worry about my work while I'm trying to relax". These highly specific wants will help you when your doing exactly what you've mentioned. When you begin you can think to yourself "I really wanted to work towards not doing this, so I'm going to try really hard not to worry right now". And once you have mastered all these specifities together you have achieved a greater goal.
If you need an example I can provide one of my own, I find that examples help me learn more than pure explanation. For me, I've been having a lot of trouble with talking to people and letting myself be cutoff in conversations. This was my first problem to improve upon, and I did it thinking I was just freewriting. In fact I was solidifying an idea to solve this problem that had been floating in my head for a long time.
I started by reading some buddhist stuff (i only dabble, i personally don't like the idea of losing desire), then I sat down and "freewrote" (i wasn't). I first wrote a dialogue between a character that I've been thinking about, and myself (i know it sounds retarded, but trust me). I wrote about how fictional me was fed up with social interactions, and how he was asking fictional character how to improve in social situations. I ended up coming to the conclusion that in order to move forward, I need something simple, something that has been part of human nature since the very begining: faith. Bear with me here, I'm not religious. I needed to have faith not in some otherworldly being or god, not the universe or my parents or friends. I needed to have faith in myself. I needed to trust myself to try new things and make them work. After writing 3 pages about having faith in oneself, and why it's important, and how it can be used, I found my social interactions improving. And through this writing I think now that reflecting upon your improvement is important, so as not to backtrack and get stuck in the negative spiral. First trust yourself to do good, then do good, then reflect.
