How did you guys overcome your lack of confidence and shyness in order to have sexual relationships?

Are you shy and unconfident around guys too? Do you have many friends, are you comfortable in group conversatons, etc? I suggest concentrating on overcoming your shyness first, forming some friendships with men and with women, and then thinking about sex/relationships after.
Having female friendships gets a bad rep - not least, among some of the "red pill" types here - but you need to learn about women, about keeping conversation moving etc, and friendships are much easiet. And women are a lot nicer to their friends than potential dates (esp if you dont know what they are doing).

Dating websites are probably the best thing for the shy guy. When i was a teenager i had to grow a pear and approach girls in bars and clubs, but i dont think that is so encouraged now (you'll probably just get slapped). Getting a female friend to have a look over your profile is a great idea, if possible. If you are new to this, your first few dates will probably be terrible - hell, your first few messages will probably be a bit cringe. But stick with it, practice, vary what you are doing, and you'll get better.