First I would like to welcome you to the family!
There are some great reasons to follow this call into the Church. Check out my favorites page.
As a non-Catholic Christian, you can make a personal confession of your sins to the Lord but you cannot receive a sacramental Confession until you become a Catholic. I would advise you to get the ball rolling by making an appointment with a pastor or priest at a neighboring Catholic parish. They can provide the proper counsel on what it takes to become a Catholic. While talking with the pastor or priest ask what ministries the parish has to offer that you can get involved with.
I would also recommend reading the Catechism of the Catholic Church so you know what we believe as Catholics.
There is no sin any of us can commit that God will not forgive and being human we tend to fall multiple times throughout our life. For that reason, going to Confession on a regular basis is normal for a Catholic. The bishops recommend going at least once a month.
When we go to Confession, we have to make a firm purpose of amendment not to sin again.
Struggles with sex sins can be especially tough so just do the best you can and follow the priest's counsel.
I hope this answers your questions.