Congratulations on getting going at the gym Jeanie!
I wear size 14 or 16 or XL in bodycon exercise gear -- I'm curvy and there is no hiding it! Really, everyone else is too focused on their own form and appearance to care much about others, but wear what is comfortable for you. I would not spend more than $10 - $15 for a pair of workout capris. I like Tek Gear from Kohl's and the Xersion brand from JCP -- both often on sale plus those stores have frequent coupons. Marshall's and TJMaxx are hit or miss for me, but I've found good shorts and capris there. Target is also a good source.
I admit I only wear black or dark gray colors so they go with all my tops and are not so conspicuous. Side panels tend to be more slimming. I agree with Nebraskim on looking for moisture wicking fabrics, I look for some lycra/spandex content for shaping, and a long rise so I don't moon anybody. Oh, and bend over and check the back view in a mirror to see if your knicker color suddenly becomes apparent *blush*.