I desperately need to go to the OBGYN so that I can get birth control, which I've been out of...
I set up my exam few weeks in advance so I had time to mentally prepare. I've found that when I'm scared if I schedule it the next day for example it feels like rushing and that super-triggers my anxiety.
I also called ahead of time to make sure it would be a woman doctor.(they made a mistake and scheduled me with a man-but I had prepared for weeks and waited hour and a half on the day itself- so I still did it; was kind of proud:))
Other that giving myself time, I also prepared- I had music to listen to for the waiting room, and took my boyfriend with me. If you have a keychain with nice memory and/or fidget, take it and keep it in your hand or pocket to touch. I'm calmed by warmth, so knowing that now(I didn't at the time), I would take travel mug with hot coffee or chocolate with me, also one of those self-warming hot packs. Basically anything that helps you self-soothe and calm even a bit.
The other thing is, give yourself plenty or time to prepare and get there with extra time as a buffer, have nice meal, prepare calmly. If you're already nervous, you don't want to add worry about getting there on time. And I personally left the rest of the day after blank for sleeping or relaxing or whatever- just to know I have the time if needed. I only needed 2 hours, but it was still relaxing knowing that was an option.
And just a reminded, since you said you want to concieve? There will be more doctor visits around that. Personally for whatever reason after my rape, my stomach is a hyper-sensitive area that I don't like unknown people touching, so that will be something I'll have to deal with when I get to that. So just be prepared if you have any sensitivities like that. But just take care of yourself- you'll get through this slowly. Also if you have the option isn't private care preferable? I've found for myself that people there are more punctual and more careful with better bed-side manner, which helps me...but may be that depends on the country.