I'm an INTP, not exactly an SP temperament. I have historically been very change-averse, almost Aspergian, enough that I almost didn't want to go to college because I couldn't imagine living anywhere but my parents' house. I moved across the country for a new job in a challenging field, and knew virtually nobody there. That isn't exactly baby steps.

It worked because I pretty much made it the focus of my life to adjust to my new situation. Yes, it was scary. It was also a huge opportunity, and I wasn't going to pass it up.

If the idea of a big change completely fills you with dread, you shouldn't do it. That's my point - you should either go all-in or not-at-all-in. But if it's only a little scary, and you think you can do it, my experience has been that it's almost always better to do it and keep at it until it's no longer scary.