For me it helped when I saw 'my first monster'. I now know what they look like and don't really fear them anymore. I still jump up if I see a monster or hear them yell when I open a door but I know that I can hide from them.
If you're really scared, you can turn down the volume a bit, or play with the lights on. It doesn't really 'ruin' the experience imo. You're also playing for fun and if playing in the dark with a headset isn't fun for you, then there's nothing wrong with playing in your own set-up (lights on, speakers, etc.).
EDIT: Didn't see your reply. Here are some more tips:
- Don't play for too long. 15-20 minute sessions are perfect
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- Make sure you always have a hiding spot / escape route.
- Save your tinderboxes/oil in the beginning of the game. There are no monsters so don't use all of them. You'll feel safer later on if you know that you have a lot of oil/tinderboxes
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