I'm having the same problem :(
There really isn't anything to be ashamed about. Scared...sure. Nervous...totally. Excited... I hope so :)
Personally, what crosses my mind occasionally is questions about my lack of body hair....or if I'm totally going to drool, snore or other wise sprawl accross the bed in some non-sexy fashion :)
All I can say is it's normal to have these kinds of doubts - being this vulnerable is never easy, and that little voice in your head can be really loud. Sounds like you have a decent guy... focus on the positives - what you have to gain, and while hard... recognize that your probally not going to be rejected for being bald.
You sound sweet, and it sounds like he's already figured out you have a lot to offer the world and him. Move at your own speed, and enjoy all of it. Baby steps..