I think the first thing is to drop your caution. I had lower self-esteem because I held back and lacked belief that I had self-esteem. Just going for it actually can work sometimes. This may sound a little illogical to just have higher self-esteem, but it can work. You may also hold back because you think that the change in personality or the more confident you would not last or people would notice. Even if this were true, you would still be heading in the direction of higher self-esteem; you would be proving to yourself that you were capable.
People lack higher self-esteem because they worry about what others think and are self-conscious. This self-consciousness stops us from being who we are. If you think about it you'll probably realise that in yourself you could even have a larger personality than those around you. Because of this you cower inwards as you would be the centre of attention among the people you are near. I think if you cease to care what others think about you, you would do yourself a big favour. If you don't care what others think, you are able to be more confident because it won't matter whether you make mistakes or not. You lack confidence because you fear mistakes and error when socialising.
One of the most important principals to gaining self-esteem is finding what you are good at. Find the things you are best at and hold them in your mind wherever you go. Do this particularly when you feel you have low self-esteem and you will probably hold your head up much higher. Push all doubt away and know that because you are good at whatever you are, you are just as confident and able as others are.
If you feel more relaxed in a certain situation (particularly at home in bed) then this may help. Whenever you lack confidence, imagine you are in a safe place. You are completely comfortable and not afraid of anything because there really isn't anything to be afraid of. If you close your eyes briefly or just imagine/visualise you are actually there when self-esteem is lacking you can actually bring some of that comfortable contended feeling into yourself wherever you are.
This brings me on to my next point. Being more relaxed is essential to having self-esteem. When your physical body is tense your mind is functioning at a lower and far less profound way than when you are relaxed. If you relax all of your muscles and try to be aware of and remove any tension from you, you will find it far easier to be confident.
Stand up tall: Once you have your belief in who you are and what your capable of/what your good at, try and stand up tall (non- metaphorically.) Standing up tall reminds you it doesn't matter what others think and that you can be confident. (Buddhists also believe it keeps you more relaxed and focused!)
The most important point is; don't end up believing you have the lowest self-esteem because others say you have. I did this and sadly took it to the extreme. At it's height I couldn't even talk to anyone because I believed I had low self-esteem. Self-esteem is a belief not a reality, it exists because you believe it does.