My first shot i was terrified also. My friend shot himself and i watched, then he told me exactly what to do. I was all light headed and shaking. When i pushed the pin in, i couldn't believe how painless it was. No blood came out nothing!, 2 days later i was excited to shoot again, and rally did look foward to it, i think it's fun now.
It seems like a really big deal the first time, but just relax. Im sure you wont hit a nerver and will be fine, maybe a little sore the next day, but don't worry about that either...