I feel you on the confidence thing...isn't it terrible when you feel like to have to already be thin to be at a gym trying to get thin? Crazy! But it sounds like you've got a good plan. And if the high school gym doesn't work out, throw on a pair of sneakers and walk or run or dance...well, you get my point. =)
Re: dealing with comfort foods...can you make some of your favorites but make them healthier? Have you ever heard of the Hungry Girl e-mails and cookbooks? I love them because there are a ton of comfort foods or favorite foods made with way fewer calories, fat, etc. And most of them are very easy to make, which is perfect for me because I cannot cook!
Best of luck!