I took my first steps out about this time last year so thought I would share some thoughts...
I would recommend a trans-friendly venue first before attempting somewhere more adventurous/mainstream. I've been to Miss C's in Ebbw Vale a couple of times and can't recommend it highly enough. It's obviously held in a private house, you can change there if you want and part of the value for me is meeting other trans people face-to-face. It's all well and good chatting to people on chix forums etc. but you can't beat talking 1-2-1 with a "kindred spirit", someone who just gets it and knows what you're going through. There were a range of different people I met there from people waiting to transistion to other closeted newbies like me! What I found invaluable was listening to others experiences of nights out/LFF/Blackpool etc, first hand tips on driving in heels/flats even navigating hotel receptions! Couples/partners are most welcome at Miss C's and it was good listening to the partners' perspectives too. Also a confidence boost was getting feedback on my makeup/outfit which is always welcome :-) Since Miss C's I've been out during the day shopping in London/Cardiff and been on "proper" nights out to trans-friendly venues in Soho/Manchester.
It sure is nerve-wracking setting foot outside for the first time, but once you've done it you'll wonder what all the fuss was about. In my experience 99% of people don't bother or care or notice. The 1% that do are mostly double-takes as somebody is obviously thinking "that's a man" but once they suss they'll look away and not bother anymore. I've taken the tube a few times with never the slightest bother and even checked in/out of hotels whilst dressed and never had a problem so far...
My other advice is don't get too hung up on passing 100% - after a lifetime (well, 40-odd yrs for me!) of living as a male I realise that I'm not going to pass under close inspection... but I am what I am, and having the confidence to go out, held held high has come slowly over time. As long as you dress appropriately and are pleasant and friendly to people you'll be fine.