Welcome

I’m a convert as well. I would recommend going to a Mass, and then you can either approach the priest afterwards and ask to speak to him and tell him you are not Catholic but are interested in the Church. Or, you could make an appointment with him through the parish office. There is a process to receive people into the Church that includes learning about Catholicism, and then people become Catholic at the Easter Vigil Mass.
If you go to Mass, you can do everything except go up for Communion, but don’t worry about standing out because there are times Catholics don’t go up either, and we get guests to Mass too, and people who are still in the process of becoming Catholic

that is understandable. You can even just sit near the back and just observe, don’t feel like you must participate.
Before being confirmed, yes you would have your Confession since you are already baptized. You would need to confess all the mortal sins you can remember and the number of times they happened, as best you can remember. Anything you forget gets forgiven too but if you remember later, just say it in your next Confession. Basically being honest in Confession, being sorry, not leaving things out intentionally, results in a valid Confession and all mortal sins get forgiven. We confess to the priest but he acts “in the person of Christ” so we are actually speaking to Our Lord, and He takes away the sins when the priest gives the absolution.
The first Confession would happen sometime near the Easter Vigil.
Regarding salvation, we don’t see it as a moment of being “saved” and that’s it. That’s a Protestant idea. The Church teaches that once you are baptized, you enter what is called a state of grace. That is when we have no original sin or mortal sin in our souls, God lives in us and we partake of His life.
If a person is baptized and then later commits a mortal sin, they would need to repent of it and to confess it to get back into a state of grace. That is because with each mortal sin, we say ‘no’ to God and leave Him. However, if we are repentant, He would always take us back, because He wants this and doesn’t want anyone to be lost. So I wouldn’t worry at all about His Mercy
Each mortal sin needs to be confessed, and must be confessed before Communion, and we need to try to not commit mortal sins anymore. Sometimes it can be a struggle especially with bad habits, but over time, it does get easier if we grow spiritually and spend time in prayer and receiving the Sacraments.
You are in the situation of wanting to be Catholic and go to Confession, yet not being able to go to Confession or Communion yet. I would entrust any worry to God. He wants you to be saved, and is leading you towards His Church. You are not able to go to Confession yet and that is very different from someone who is able to go but refuses. You’re just in a process of getting there, try to just cooperate with what God is doing in your soul right now, and go through the process with trust that God would bring you to the Sacraments.
If it would make you feel better, during this time you can say an act of Contrition for your past sins:
“O my God, I am heartily sorry for having offended Thee, and I detest all my sins because of Thy just punishments, but most of all because they offend Thee, my God, Who art all-good and deserving of all my love. I firmly resolve, with the help of Thy grace, to confess my sins, to sin no more and to avoid the near occasions of sin.”
It could help you to learn about Jesus’ presence in the Eucharist. This is something that doesn’t occur in the Protestant services (because they don’t have priests), but during the Holy Mass - God transforms the bread and wine into Christ’s Body, Blood, Soul and Divinity, so He is literally present there. The Eucharist is given to the faithful for Communion but some of it is reserved in the Church in the Tabernacle (you’ll see a red lamp near it). This means that Jesus is always physically present in our churches and you can pray to Him directly in the Eucharist when you come to a Catholic church. You can do this during the Mass, or any other time of the day.
Sometimes, churches have “Adoration” which is where the Eucharist is exposed for a time of prayer, and this is very powerful to go to - if you have this in your area, I would recommend it a lot. I started going to this while I was becoming Catholic and it helped me a lot.The first time I didn’t really know what to do and couldn’t stay a while, but as I got used to it, it became very helpful. Even without this though, you could just visit Our Lord in the church and pray to Him… He is everywhere spiritually of course, but He is literally present in Catholic churches, and His presence is there in a special way. Our Lord is present there in His Body too not only spiritually, so you’re physically before Him as you pray there. Try to be open with Him and trust Him
There’s a book called “Divine Mercy in My Soul” by St Faustina that maybe could help you with the anxiety you’ve been having. Here’s a summary of the message of the book. It’s all about God’s mercy and God wanting to save us.
ewtn.com/devotionals/mercy/
This book contains things that Jesus told to a Catholic Saint, St Faustina, during her life. A lot of it is about how much He wants to pardon souls.
thedivinemercy.org/message/spirituality/trust.php
Jesus said **“I never reject a contrite heart” “Sooner would heaven and earth turn into nothingness than would My mercy not embrace a trusting soul” **
You might also like the book “Rome Sweet Home” by Scott Hahn, who used to be a Protestant minister and then became Catholic
God bless you!