Let me just say you have nothing to fear! Infact being a new collector will be to your advantage in more ways than you realize. The people in the hobby are some of the nicest and helpful I have met. I was not new my first show and it was still overwhelming being a first timer. Oh and yes, you pretty much do just walk in and say hi! The doors are left open. Tell those you meet that you are new, many will help you ID and give info freely, others may even hand you marbles as a getting started gift, don't hold me to the last one but it happens! Just go and say hi the rest will take care of itself. Besides you and your marbles bring what cash you can, there will be some deals and marbles you will wish you had it for if you do not bring it. Have fun!
Steph is right on, bring a light. Small and intense light is best.