First of all, I like your handle - ICanDoIt!
Congratulations for starting and continuing the series. When I first bought the therapy series, it was in CD form - I hesitated opening it even because I figured once I opened it I could fail. Irrational thinking, but, that's what I did. Luckily I finally started. Taking the first step, and sticking with it - these are almost the hardest things for everyone. Good job.
You read the whole book of handouts - which is admirable, and now you've just started. Session 4, the 3rd session of "therapy" after the introduction. So, still pretty freshly started. Therapy is about repetition of these cognitive concepts and only time and repetition allows the concepts to get down into more of a real feeling/belief. You can rationally read all the therapy and totally understand it, agree with it, but of course that doesn't change your real feelings or emotions. Our brains don't work that fast. So, hang in there, give yourself time. There's no way to leapfrog here effectively. Don't get too down on yourself for feeling like you should be somewhere you're not now, somewhere that would be impossible for anyone that quickly.
The big ideas up to Session 4 - understanding how therapy and our brains work, starting to use and practice slow talk (which you've been doing - bravo), and being aware of ANTs - just catching them, and using distractions. Practicing these things are fundamental and that's why they come at the beginning of the series. Slow talk as a practice, as a tool is a lot more than most of us give us credit for. I don't think enough people actually practice it as much as they need to - because with SA, we really need to slow down. If a person gets to the end of the series and is still too speedy in their thoughts and their speech, they haven't given slow talk the time it deserves. But you have. And you say you are working hard on catching ANTs. That's exactly where you should be in the series.
Yes, with social anxiety, we all understand zoning out, not being able to focus on what is happening or others are saying because we might be too anxious or going into our negative thoughts. I used to have headaches all the time, from the thinking and I think from the way I would slouch and hold my body in certain positions to act as a sort of defensive measure, to try to shield myself from other people. It's completely exhausting, and all you want to do is get back to your room and drop on the bed. It's absolutely completely entirely exhausting - another thing people without social anxiety just don't understand.
In the local group, they've just passed sessions 9 and 10, when they start moving the cognitive into the real world through behavioral activities. You have to live in the "real world" like we all do, but in terms of therapy, you are doing what you need to be doing. Don't pressure yourself that you still have anxiety - of course you do. It's only week 3-4. Keep doing the great job you're doing by doing the therapy daily. This will give you the strongest foundation to continue in the right direction and to deal with the normal challenges that come later. You are absolutely doing the best thing for yourself right now.