Best not to go alone to a bar, as you don't know how alcohol will affect you. Drinking isn't a necessary socialability, so dunno why you'd like to start, but even if you are going to drink at home, invite a friend over, as if you get drunk, you won't be a good judge of your actions anyway.

If you can find a friend to go out with you, you can always make sure you have a snack before you go, so the alcohol won't hit you on an empty stomach, and alternate glasses of alcoholic stuff with nonalcoholic - bars always have gingerale, and I'd often order a ginger ale/orange juice combination if I didn't feel like getting harrassed about "not drinking," people just assume it's a screwdriver.