Definitely go to confession. This happened to me when I was in RCIA also. A dear lady in RCIA meaning well told me I would be baptized which would “wipe out” my sins. She told me to wait and not go to confession for that reason, but I knew I had grave and mortal sin on my soul.
Then the Director of Religious Education spoke to the priest because I could not provide a baptism certificate. (My Baptist upbringing called baptism “symbol only” so didn’t keep very good track and I had no witnesses who would participate to help me join the Catholic Church). I was advised our priest was going to do a conditional baptism which is “IF you were not properly baptized before, I am baptizing you now…” (paraphrased). Knowing I had been properly baptized before as a child, and remembering it was Trinitarian baptism, I KNEW I had HUGE and GRAVE mortal sins in my past I had committed, and immediately felt the weight of sin and need for confession. I was out of town in the bay area when this began and traveling home to central California, I remember the urge to stop in every city I passed through and find a priest and confess. I made it home, it was Friday night, and that next morning, I left the house with the intent I would not return until I had made my first confession.
Do a search here for making a first confession, OR I know Father Corapi on his website has some information to guide you in this. Tell the priest when you get to the confessional that you are an adult in RCIA and making your first confession. I also felt very comfortable making that first confession in a private confessional versus face to face confession. That is your option you can decide also.
And when I walked out of that church that day I felt SO much better. White as snow, clean, healthy, spiritually washed and scrubbed.
And ever since then I have gone to confession on a regular basis. I always go for mortal or grave sin of course, and it is good to go for a build up of venial sins also. Venial sins have a way of building up coldness in our heart towards the things of God. Venial sin is washed away during Mass for Catholics. Write out for yourself and take with you the Act of Contrition. I couldn’t remember it exactly (the confessionals usually have a copy posted also. So what I said was my version which was telling God how sorry I was, not only for the loss of hell but because my sins had offended Him, and that I resolved with his grace to never commit them again.
Also, I yearned so much, had so much longing for Holy Communion with the Church. I made that first confession in November 2008, and I came into the Church on Easter Vigil 2009. The last few months before Easter Vigil, during communion, instead of praying with my hands together, I cupped my left hand in my right, anticipating when I would receive Our Lord, His body, blood, soul, and divinity.
Now I know why I yearned. It is life changing. I now try to go to Mass more often than once a week. And the grace it imparts to try to live for Christ is beyond anything I ever dreamed.
I’ll keep you in my prayers that God’s will be done in your life, and that you will always be open to God’s will.