That's the approach I took.
First time I went out the only items of female attire I had on were tight fitting ladies stretch jeans, and panties on underneath of course. I went shopping in the local supermarket. Jeans are unisex (although stretch ones less so) so I doubt whether anybody really took any notice. However, as it was my first time, it was a big adventure for me. I knew they were ladies' jeans even if nobody else did. As nothing untoward happened, I wore them quite regularly. My confidence grew, and started to wear a soft bra under my shirt and jumper, or wear a blouse in place of a shirt.
It wasn't long before I really wanted to take the plunge and go out fully dressed, as I felt I had built up the confidence to do it.
To be honest, the most nerve-wracking part was leaving the house (in case the neighbours saw me), but once I wasa couple of streets away, I was in my element. After that I was hooked.