My local masjib/school started a convert get together to help us though this and to learn more about Islam. I live 20-30 min away from my school/masjid so I don't tend to go down there on a day I have off for school.
Last night I went to the first one. We went up north to join another group of converts, and watched a great movie. Muhammad-Legacy of a Prophet. I definitely recommend seeing it. Afterward, we discussed the movie and just other random stuff-it somehow turned to a conversation about wearing the hijab.
I absolutely enjoyed it and I hope to go to more. It definitely helps to learn more about my religion and I get the good feeling inside me when I do.