Salam,

Thank you so much for trusting me with your question. I am very excited for you as you take your first steps into Islam and I wish you a warm welcome! May Allah continue to guide us to the eternal truth. To sooth your mind and nervousness about saying your shahada in front of a crowd, this is not at all required.

Normally, witnesses are required but this could be a few people (Muslims) with whom you are comfortable. And you do not need to be at any specific location like a masjid (mosque) to say your shahada. 

Sheikh Ahmad Kutty, a senior lecturer and an Islamic scholar at the Islamic Institute of Toronto, Ontario, Canada, states:

Strictly speaking, it is not at all considered an essential requirement for witnesses to be present when a person is embracing Islam; thus if a person declares shahadah (testimony of faith) between himself and Allah, he is considered a Muslim in the sight of Allah. But in order for him to be recognized as a member of the Muslim community, he must declare the same in presence of two witnesses or before an Imam of a mosque who has been duly authorized to issue a certificate indicating the same.

It is, therefore, highly recommended for anyone embracing Islam to do so in the presence of persons authorized to issue certificates as he/she may be called upon to produce them while planning to go for Hajj or in case of any question concerning his Islamic identity. The Prophet, peace and blessings be upon him, taught us that while doing things we should try to do them as professionally and efficiently as possible”. (Source)

You can say your shahada in front of Allah anywhere, but for the purposes of announcing your testament of faith for you to become a part of your local community, you can do so in front of only two people anywhere you are comfortable with. Or you can say your shahada in front of the imam at the masjid, making him aware that you prefer not to do so in front of a crowd.

Please keep in touch with any question you may have as you learn your new faith.

And check out this link for learning resources.

Salam.