I felt the same way before getting my pump, but it doesn't take long and you hardly realize its there. With some outfits it does pose a problem, but not too many I have found. One piece dresses and such are really the only thing. You can put it in a pocket or use the clip for any other pants or skirts.
Sleeping was the hardest for me to get used to. I tried keeping it attached to myself and would roll on it. I asked at a diabetes forum and people suggested to leave it lying loose on the bed and that worked well.
You would think the set would come out, but it doesn't, they hold very well. For the nookie thing... I take mine off. lol
Overall it is wonderful. So many options unlike shots.