Step one: Don’t be too hard on yourself.
This doesn’t mean “Oh, I’ve never done anything really wrong.” It also doesn’t mean “Eh, I’ll blithely keep doing what I’ve been doing and confess every week.” It means “I’ve done wrong, but God will forgive me.” Despairing and distressing over your sins can close you off from God just as surely as sinning nonchalantly can move you away from him. Your sins are bad, true, and you should feel remorse, but don’t dwell on the remorse. Instead, simply try to do better in the future.
Step two: Yes, go to confession.
I completely sympathize with you regarding confession. It’s uncomfortable, it’s nerve wracking, it makes you embarrassed every time you see the priest you confessed to. But, it works. If you go to confession with a contrite heart, you can be infallibly sure that your sins have been forgiven. That’s why God gave us confession, you know: not to make people nervous, but to give us a method which gives us objective certainty that we have been returned to God’s good graces. In any case, the priest has been trained to not be judgmental (not that he doesn’t judge your sins, because he has to to assign penance, but that he doesn’t judge you as anything but a fallen child of God who’s come home), and you can be sure that he won’t tell anyone else about what you said to him.
Step three: Try harder next time.
This is generally a temporary fix, but you do need to try to will yourself out of committing sins. Don’t beat yourself up when you inevitably fail, just get back on the wagon and keep on trying. This isn’t the final step, so sinning here isn’t really much to worry about. This is just a patch job while you try to get to the root of the problem. Think of willing yourself not to sin sorta like Nyquil: yes, you’re only treating the symptoms, but the symptoms can be pretty harmful in themselves, and often, a good night’s sleep can be all you need to get yourself into a better place.
Step four: Why do you sin?
So you’ve dealt with the symptoms, now for the diagnosis! Why is it that you do these things you know to be wrong? Humans are imperfect creatures, but every action they take has reasons behind it. Oh sure, sometimes we make mistakes due to our frailty, such as drawing someone and doing a bad job of it, or because of our ignorance, like if you picked up the wrong bag at a party, but errors of that sort in the moral realm aren’t sins. When you perform an action that you know is contrary to what God wants you to do, you are doing it with a purpose, though you might not know precisely what that purpose is.
For example, when you drink to excess even though you know it’s a sin, what you’re saying deep down is, “Drinking is fun, and I should be allowed to do things that are fun, especially when they don’t hurt anyone.” Since the root of all sin is pride, you can be pretty sure that whatever your reason is, it will somewhat resemble this, this hidden rebellion against God.
Step five: Bend yourself.
Treatment varies depending on what sort of person you are. I, for example, am academically-oriented. I find that the more I understand why a given sin is wrong, the easier time I have of taming my sinful attitude. For me, it’s not enough that the Church says something is wrong (though it should be); I have an innate intellectual desire to go through the step-by-step logical path the argument follows to see exactly why, say, lying is wrong. If you’re like me, then, I would suggest reading up on what the Church has to say about each of your sins you’re combating.
If you’re not handicapped by a need to know why something is wrong, I’m not really sure what advice to offer you, not because you don’t need advice, but because I (emphasis on the singular) don’t see what advice you might need. My curiosity is a covert form of blindness which makes it difficult for me to comprehend simple faith. I guess all I can recommended is to keep in mind that no matter what you think, no matter what reason you have for sinning, over and against God, you can be 100% sure that you are wrong.
In any case, once you know what it is that you believe deep down, your goal is to reform your belief so that it is in line with what God says. This is very hard, and will take a very long time. After all, you’re trying to make yourself red-hot and hammer yourself painfully into a potentially entirely new shape, but once you’ve accomplished that, you won’t want to sin, which will make it much more manageable (maybe even easy, or trivial) to simply will yourself into not committing it.
So that’s my advice. I’m not sure how helpful this method is, or even if it’s possible to do things as systematic as this, but it’s been helpful to me, so maybe you’ll get something out of it as well.