Why not try a token economy situation? If you make it a few hours, or make it a night, then reward yourself with something you really like (although, obviously not having someone else in the room!).
Also you can try spending small amounts of time by yourself to help you work up to spleeping alone. Try five minutes, 15 minutes, 30 minutes, and hour... just keep trying. Or, if you need to start even more slowly, get someone on the phone and have them talk to you for awhile, and then try and hang up for a few minutes and go from there.
You don't have to be embarrassed about this. Just do your best to get over it if you don't like it, and don't listen to the teasing.
Good luck~!!!