On the day, be enthusiastic and positive. Eat something beforehand, and have some water or whatever for afterwards. Don’t turn up drunk or high – a reputable piercer won’t deal with you. Don’t take pain killers – they don’t help.
When you get there, you may be asked some questions or more likely asked to fill in a short form. This is to help the piercer, but it may be a legal requirement. They will want your name and contact details and age/date of birth, and any medical issues, especially allergies (eg latex) or if you are taking any medication (eg blood thinners). It helps to have photo ID, just in case.

Don’t ask “will it hurt?”. Look, someone is sticking a sharp needle through your body, but who can say for you. If it does, it will be over very quickly.
Don’t suddenly change your mind because you are scared. You must have wanted it enough to get it done. A small amount of possible pain is worth it. Afterwards, you will look fantastic.

The piercer will mark up your piercing and ask you if it is OK. If not, say so. Be polite. If they can’t get it the way you want, there may be a good reason. If you are not happy, leave. If you have problems afterwards, contact the piercer. Don’t just whinge on social media. They want you to be happy. They want you to tell others how good they were. They hope you will go back.
Usually they will tell you to take a deep breath, maybe two.
Don’t worry about bleeding. It happens. It can happen that there is a small amount of blood but there will probably be none at all. Your piercer has seen it all. They will deal with it. You won’t be allowed to leave until you are tidied up and fit and happy to go.
Listen to the piercer when they tell you about after care. Usually it’s: give the piercing time to heal, it may swell a little, use only slightly salty water to clean but don’t overdo the cleaning, don’t fiddle with your new piercing, come and get smaller jewellery in a few months.
Think about leaving a tip. In the UK, it’s not expected but is appreciated. In the USA it’s more normal. If you had a good experience, tell others,tell us. Be proud of your piercing.
Just to add to this, there are many websites for piercers where they specifically say they do not use guns. My piercer does, for example:
https://www.lbltattoo.co.uk/piercing
This is a good thing.