Finding Your Community
Personally I've found quite a few local communities have a strong online presence, most often on Livejournal and Facebook. A currently anonymous person created a wonderful directory of Lolita communites around the world, including their online communities and where to join them. It's incredibly helpful in finding a group of lolitas closeby.
If you cannot find a local community, there are plenty of places to ask! Personally, I found asking on EGL will usually point you in the right direction. If there is absolutely no lolita community local to you, and you'd like to make one, Facebook is a great place to create one as I've found it can be easy to find other local lolitas via other related interests there.
Once you've found your local or online community, don't be scared! If you're nervous, it can be good to lurk and observe for a bit, but I've found diving right into it and introducing yourself is very worth it! With all of the communities I've joined everyone has been welcoming and kind to newcomers and your local community should be no different.
A thing to keep in mind in joining your lolita community is how you come across to others. Sometimes people can unintentionally come across rude, so just try to visualize how your writing will come across before you post it for others to see. If you can try to be polite, be kind, and try to avoid being blunt when you first start being active in your community. Once people have seen you in person, or have talked to you online for a period of time, it will be easier for them to understand your personality and nuances in your text.
When you're part of a lolita community, you should try make the most of it. Be active online and offline if you can. Communities are a great resource, as they're a great way to make friends with similar interests, and best of all, wonderful support in advice on coordinating, buying and selling, and other things related to the fashion.
A great thing about local communities are the meetups. They can be an absolute blast and it's a great way for everyone to show off their best new thing and favourite outfits. I personally adore meetups because I feel much more confident wearing lolita with others wearing the same. I highly recommend going to meets, even organizing them if you can. They're definitely worth a try!
Now lolita communites can be great, but they can also be difficult at times. Not every group is guilty of it, but many can have issues with some members being unpleasant, having attitudes, or worse, spreading gossip and drama. Though it can be tempting at times, I cannot stress strongly enough, do not let yourself get involved in that sort of thing. People can be frustrating, events can go wrong, but don't let it go beyond that. A teeny bit of drama can explode in a very destructive thing. It's best to just let things slide and not effect you. Time heals all wounds, and drama too.
With that said, drama is not normall a problem and I've found most communities to be wonderful, fun, helpful, and an amazing thing to be part of. It can be daunting, and a little frightful, but taking that first step to be part of a community is definitely worth it. I'm part of many communities myself and I am very glad for that. I hope you can find a community for you, too!