I'm not religious and I didn't have *social* anxiety from it, but sexual mental patterns can definitely become infected with a lot of anxious or other horrible feelings.
Religious ideals are useful due to the intensity they can borrow, but I think sexuality might sometimes need understanding and patience.
If you haven't spent years with a hiding and dissimulation obsession, I'd suggest maybe discussing it with a professional. Maybe one that at least has been religious, idk. Just so you could navigate the subject in a more normal and accompanied way.
If you're not conflicted about it as of now, try to understand slowly how those feelings work in you, and slowly try to manage how your mind processes those subjects. It might be better than mostly focussing on managing actions.