Good luck to you!
I started lovenox a couple of weeks ago and was totally freaked out about it.
I've had no problems whatsoever - no side effects at all. And the shots were much easier to give than I originally thought - the needles are quite small and, at least from my pharmacy, they come prepackaged and everything so you don't have to try and figure out the dose itself.
Right now, the morning sickness is bothering me much more than the shots, so try not to worry about them.
If it helps, there's a yahoo group for Factor V Leiden women (a blood clotting disorder) who are pregnant. Most of them are on lovenox and baby aspirin, and it helped me get my courage up reading all their posts.
If you search for FVL-PG at yahoo groups you should be able to find it.
Good luck to you!