I honestly don't remember ever feeling self conscious about it or anything. But it's been a while since I started carrying. I do feel naked without it though, I can tell you that.
The only thing that makes me uncomfortable when I carry is when I'm in social situations where folks get "huggy". Birthdays, family gatherings, etc. My immediate family all know I carry, no big deal, but some of my wife's family (not all of them are "gun folks") don't know I do, and I'd hate for someone to hug me and get the butt of a 1911. I try to avoid the hugs.
"A well regulated Militia, being necessary to the security of a free State, the right of the people to keep and bear Arms, shall not be infringed." -Amendment II, Constitution of the United States of America