I went out pretty much as soon as I got a wig, dresses, and makeup. I felt like I had to or I would never do anything about it.
I think the first time was attending tranwoman support meeting, however...
Then, I would walking around my neighborhood, which was pretty busy commercial area, or go to movies at night, or shopping at larger department stores like Target, and I would go out to eat or go to the grocery store.
Those were my main channels, and I only did them in small little doses.
I felt like I was doing the right thing, and it felt so good to confront my fear, but my nerves would get worn down.
HRT was a huge help.
As time goes on, I am less insecure about it. It's a process.
I think the first rule of thumb is be kind to yourself. Always be kind to yourself. Do what works for you, and you'll start to feel more comfortable as time goes on.