Every time I walk into the milonga venue, no matter how many times I go to milongas, I have that nervous feeling. Where am I going to sit? Who's going to be there? How do I look? What if I dance badly? But the most pervasive discomfort is sitting alone.
If I don't see anyone that I sit with regularly, I skirt the edge of the room (almost always to the right because of my lopsided vision) and take a seat by myself. Then I put on "the face". The face that says (or I hope it says) I don't mind sitting by myself - I'm just happy to be here. While it's true that I am just happy to be there at the milonga, I do mind sitting by myself. But walking up to an occupied table always feels intrusive. It happens less and less, as I make more friends, get more familiar with everyone. And some venues are better than others at encouraging interaction. At Esquina Tango in particular, there's almost no chance of having to seat by yourself since the tables are so close together. To get a table by yourself, you'd have to be the first one there - and that wouldn't last long. It's one of the things that makes Esquina milongas so friendly, everyone has to sit almost on top of each other. You have to get to know your neighbor because later on you might have step over them to get to the loo.
(I'm told the need to socialize is very much a North American attitude, as we spend so much time isolated from one another during our day to day lives. It sounds reasonable and I can't really argue the point as I've never been to Buenos Aires.)
There is one person who is at nearly every milonga (if tango has a fairy godmother, she is it) who finds all the new faces, all the people sitting alone, and introduces herself, draws them out, introduces them around. If you've been to the Austin area milongas, you know who I am talking about. She's the epitome of milonga class. She makes every dancer feel welcome, every leader look gifted, and every milonga feel "right".
Do you have that person in your tango community - a fairy-godparent who reaches out to other dancers and makes them feel welcome? If you don't, I recommend becoming that person.