Set short-term, specific, realistic goals. For each specific, concrete problem you've identified, set one or more short term realistic goals you can meet that will help you to know when you've solved that problem. Each goal should be short term, in the sense that it can be accomplished in a short span of time. It should be realistic in the sense that it should be something you can accomplish with a little work.
Make sure that the goals you set are within your own power to accomplish and are not dependent on other people's whims. If you want to find a romantic partner, a useful goal might be to ask someone out on a date; this is something you can accomplish on your own. It would not be useful to set as a goal that the person you ask out will want to date you, or go out with you, because you cannot control these things directly.
If your ultimate goal cannot be accomplished in a single step, then dream up a series of steps that, if accomplished in series, one after another, will ultimately lead to your accomplishing the larger goal. Perhaps you want to get married (but are presently single). It is too difficult to just try to get married all at once. Instead, break this ultimate goal into a series of smaller goals that will move you towards your ultimate goal. Your first step might be to identify a few potential partners you'd like to date. A second step would be to ask these partners out for a date. After a first date has been accomplished with a given potential partner, a third step might be to see if you want to continue dating that potential partner. If you find yourself in an ongoing relationship, a fourth step might be to evaluate whether your partner would make a good long term partner. A fifth step might be to propose marriage. Of course, each of these intermediate steps might need to be broken down into smaller steps themselves. If you get so far as to propose marriage, you will need to first obtain an engagement ring, then decide how you will propose, etc.
The more you can break your problem down into simple steps, each defined by a simple goal, the easier it will be for you to accomplish those goals and to make progress towards your ultimate goals.
Select methods that fit your problem and which suit you personally. Having identified the nature of your problems, select self-help methods that are likely to be useful in addressing those problems. If your problem is in part caused by dysfunctional thoughts, then select a method that will help you to change those thoughts, such as cognitive restructuring. If your problem is, in part, related to moods you cannot easily control, then select a method that will help you gain better control over your moods, such as a self-soothing method. It is okay to select more than one method to try for each problem. It is also okay to use different types of methods for each problem. If you want to address an anxiety problem, for instance, it is fully appropriate that you will select a thought change method like cognitive restructuring and a mood change method like relaxation, because both of these methods are likely to be useful in helping to head off anxiety.
As you select methods, keep it in mind to choose methods that suit you and your unique personality. Some self-help methods are better fitted to certain people than are others. Cognitive restructuring is a great method for altering the thoughts that contribute to anxiety and depression problems, for instance. However, this particular self-help method works best for people who are very verbal by nature; who are good at speaking and writing and expressing themselves. People who are not terribly verbal may have a much harder time making the technique work for themselves, and might be better off using some other self-help method for improving mood that doesn't depend so much on verbal skills, such as regular physical exercise. Whichever methods you choose, make sure that they make sense to you and seem a good fit for your personality and background.