I would say I felt abject terror initially–so much so that I first bought clothes online and had them sent to a PO Box so that I could hide them from my grandparents I lived with at the time (very conservative); things became better when I moved out, but since I was engaged to my now wife buying clothes became a very furtive and covert operation initially. I would go to an all-night WalMart when my wife was asleep and initially I would only buy underwear in the self-check out line. Eventually when I came out to my wife as far as dressing I gathered the courage to buy shoes–some “bew-jeweled” flip-flops at WalMart during the daytime, but again of course used self-check out (my mind doing the gymnastics that people would think they were for a wife or someone else or something). When I finally told my wife I was definitely transgender we went and bought clothes together and I still felt secretive, but felt a great deal less shame–but my wife was the one who was embarrassed. Due to my wife’s concerns and other reasons I went back in the closet for a year, and recently am fully out again–buying clothes now is still a little awkward (I feel like I don’t “belong” and with Covid-19 I was doing a lot of guessing–and lots of returning), but when I went with my wife up to West Hollywood I felt a lot more natural given the wide-spread acceptance there. I also met a member of our community at a department store who helped me for hours as far as purchasing makeup and learning how to put it on–and later on who helped me buy proper shoes (small heel; good idea to start with less, he knew his stuff :).
I suppose if you have an area near you which is more accepting (or if you find staff in our greater LGBT community who can really be there with you as you shop) it can be helpful to shop for clothes there even if you have to drive since you may feel a bit less shame–also if you find someone in our community that can help this can really make it easier also.