I went to one a lot of years ago. It was over dinner, and we had a blast.
You don't need to be scared at all, you'll get all the help you need. Most of the fun comes from the funny stuff going on between people helping each other.
You guys will have a blast.
I should also say that we had never done anything like it when the ex and I went, and I was very uncomfortable with it while she wasn't. That really made me scared. Five minutes after showing up and I was good to go.