It's unanimous! give it a shot and see how you like it.
You can also buzz it down close with a #1 guard to see how you like the look.
I am betting you will like it, and probably bring it down to a 0 shortly thereafter.
Shaving it from there is very easy, just make sure to use a good gel, and I recommend a Mach III for your first shave; very easy and comfortable to use.
I also agree with Tyler's second point as well: nothing is going to make your hair thicker.
Confidence will come when you take control.