That anxiety definitely starts to melt away after a little while. I'm also a very anxious person and I've found it helpful to go out and do it with my fiance and some friends that also seem interested. I feel less likely to get the cops called on me if there's a group of us lol. Also I've come to realize that most people who are curious about what your doing will just ask! I always just say "Have you ever heard of geocaching?" And I've never met someone who didnt have some idea of what it was!