Finding gaps in your knowledge and filling them or otherwise addressing them can lessen the fears associated with those gaps.
Fear can be a good guide to finding gaps in your knowledge.
Taking time regularly to meditate about recent events can be beneficial and dangerous too. XXX (anon65 - conflicting objectives)
A danger for autistic spectrum people that Marc Segars guide talks about is getting into circular reasoning traps. See the section on "self maintainance" for more on this, and how to avoid them.
Comparing recent events, good and bad, with what you would have expected to happen can teach you more about social interaction, or reinforce what you already know.
Having hobbies and engaging in personal interests is one of the best ways to build self esteem. The better you are at them, the greater the reward will be, but:
Be very careful to investigate and understand the dangers in your hobbies. Take safety seriously. There's no point in developing a skill today that you can't use tomorrow.
Don't let anybody force you into taking up a hobby.
Don't let anybody manipulate you into giving up a hobby.
People may try to get you to give up a hobby by saying that it is childish or dangerous or takes up too much time. There may or may not be some truth in what they say.
They may try to imply that YOU are childish or ignorant or dangerous for having your hobbies and interests. This is almost certainly wrong.
If you take your own safety and the safety of others seriously, then ignoring warnings is a bad idea.
In virtually all cases it is possible to negotiate compromises that enable a hobby or interest to be pursued, while avoiding its dangers.
People who keep coming up with new reasons why you shouldn't keep pursuing your interests and hobbies when their old reasons have been proven wrong and who avoid negotiation are almost certainly not trying to help you.
If someone is persistent in doing this, then there may be other underlying issues on their mind that need to be addressed. Finding out what they are and dealing with them can be an educational and rewarding experience.
Successfully helping someone else achieve something they need is an incredible self esteem booster.
When doing this involves sharing or developing your personal interests, it is even better.
It is possible to experience negative emotions from assisting people too. If you feel this happening, it's often best to reconsider.
Beware that placing yourself in danger to save someone and getting hurt yourself means that both of you need to be rescued, and this means that such an act can ultimately hurt the person you're trying to help, because you end up halving the attention the rescuers have for the victim.
Autistic spectrum people can succeed in learning the social games that people play with some effort, but are nearly always at a severe disadvantage. Therefore, developing interests that are useful to others is well worth the effort.