Yes you're not the only one. Only this morning I bought a couple of skirts. I couldn't wait to get home and try them on. Believe it or not I have no other skirts. Once home I dressed up and was delighted. I paired them with a couple of my wife's tops and realised I'd done well this time. The skirts are all part of my master plan to get together a going out outfit. I was feeling pleased with myself. I even took a photo. Mistake!
Now I saw a man in a skirt, Ok I had no wig, make up or anything but the contrast with what I saw versus what I felt was too much. I became embarrassed and I've continued to be feel embarrassed.
I really wish I wasn't like this. All I really want is to be accepted as a woman, interact with other people as a woman instead of being a freak who wears women's clothes.
It'll pass of course but it's hard to overcome at times.
I think as others suggest. Just keep going out. The more you do anything the less scary it seems. It just becomes normal and the embarrassment fades. Well I hope so.