Well they don't have to be confidry, though it does go a long way in confidence to wear a diaper you can trust. For most, confidry and northshore have a high success rate, which is why we are suggesting those.
If their thickness causes you too much worry though, then by all means use a thinner diaper. Just don't pee in them as much and expect them to not leak.
As for baby steps, yes there are some. Start by getting whatever diapers you're comfortable with, and always wear them around the house in your privacy. This will help YOU get used to them first, before you wear around others. Next, wear them when you go out in public, and on the entire weekend during the day. Once you've realised nobody in public notices or cares, and you're comfortable with wearing around others, then wear them at your work too.