It's normal to be self conscious at first. As someone else mentioned the thing that would most likely give you away is constantly touching your gun to make sure it's there.
The other gun forum I frequent has a tradition known as the "Wally World Walk". Basically it's a trip to Walmart while carrying to make you realize that no one is paying any attention to you or your gun. The reason Walmart was chosen I guess is that they are everywhere, the are usually busy and most of them sell ammo. There is even a Wally World map and instructions on what you should buy there including ammo, a cover shirt an action/gun movie and red meat.
The bottom line is do your best to conceal and try your best to be a grey man, (blend in) and know that your better prepared than if you were not carrying.
When I first started CCW I would check everywhere I caught a glimpse of my reflection. After a while you wont even give it much thought. It took me about 6 weeks to get completely comfortable with it. Don't worry about other folks seeing the bulge in your clothing where your firearm is. What are they going to do, call the cops for what they THINK is a gun? I doubt it.
I got my CHL last week and carried my G27 for the first time. Instead of wallyworld, I went next door to WinCo. I couldn't stop adjusting my shirt and I felt like everybody was watching me and that they knew. I guess it will take some time to get used to. My holster is a Galco UDC286.
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Ive created a group for first time carriers... Feel free to join up and share!
http://glock.pro/groups/first-time-carry.html
This is my Glock. There are many others like it, but this one is mine.