Haha! I felt like that, too, the first time! Okay, so it was more me being nervous than anything since I lived with a roommate at the time (who was gay and had a vibrator he left in the bathroom on occasion, so it's not like it was going to offend him if he ever found out).
Anyway, no embarrassment whatsoever, and I thoroughly enjoy (still) the product. Woo! Have fun, guys!