An example I like to use is when I was 16, my brother took me to a bar. He said, "Just walk in thinking, 'Bitch I OWN this place,' and people will think you belong." I've been following that advice ever since because it works in most situations.
Confidence is important important in roleplaying. Even if you don't really know what you are doing, if you just act like you're really good at it, then a lot of times people can't tell the difference. So I would say just make it up as you go along, pretend like you "own" that roleplay, and you should be good to go. Confidence is easy to fake, and since it is his fantasy I doubt you have much to worry about embarrassment-wise