I agree with katacus. If you really want to try Cosplay, wear a costume to a convention. It doesn't have to be elaborate or detailed. Even a closet cosplay would be good for your first one.
AmyB4537, do you have anyone who would go with you? Having an experienced con-goer or cosplayer at your side might help with your nerves.
For me, I wanted to dress up for my first con and I picked Canada from Hetalia because if I acted shy and hid in the corner it would be part of the character. I purchased a really good wig and a red sweatshirt, a little chest binding, some props, and some new make-up (make-up is a must for pictures). It wasn't very expensive and the con was a blast!
Cosplay in progress:
Yami Bakura/Florence from Yu Gi Oh! The Abridged Series
Maleficent from Disney's animated Sleeping Beauty
Generic Dragon mascot (for Ren Faire)