Phred,
Welcome to the forum. 
I think the questions you ask are tough--in that it's tough for us (or me, at least) to be honest with ourselves. I was a Protestant before I became Orthodox, but I had something of a break in between which helped me ease into Orthodoxy. After leaving Protestantism (I was a Wesleyan Bible student) I sort of drifted into a period of... well... drifting. In late 2000 I found Orthodoxy, and I didn't really like what I saw. It seemed so ethnically focused and "out of touch". Besides, they did strange things like pray to the dead and kiss the hands of priests and so forth!
What it came down to for me were two concepts: Truth and Church. G.K. Chesterton used a phrase that provided a way for me to view both concepts at once: my questioning came to center around "Is the Orthodox Church a 'truth telling thing?'" This was based on certain premises I already held (e.g., that Christ our Lord did in fact found a Church that he meant to be findable and recognizable). It was also perhaps a little imprecise, but it worked out as far as it needed to go.
I can tell you that I did not have what I'd call a "blissfully happy" conversion. I felt awkward and very much out of place (even though I was in a parish that was very kind). I didn't think "I had gone to heaven," as some describe the Orthodox Liturgy. Truth be told, it was a bit of a culture shock for this jumpin' yellin' amenin' pastor-runnin'-through-the-aisles former Protestant. All of my reasons for converting probably weren't honorable, either (though I at least tried to convert for the right reasons).
As to advice, I'm not sure what I could say. If you had questions about specific issues, maybe I could say how I "got over" things, or what book or article I read that helped, or something like that. I'm sure others would love to help as well (many here know about the process of conversion). Just generally speaking, though, I think Saint James gave some of the best advice when he said: "Draw near to God and he will draw near to you." (James 4:8 ) In relation to this passage, Saint John Cassian said:
"Whence human reason cannot easily decide how the Lord gives to those that ask, is found by those that seek, and opens to those that knock, and on the other hand is found by those that sought Him not, appears openly among those who asked not for Him, and all the day long stretches forth His hands to an unbelieving and gainsaying people, calls those who resist and stand afar off ... But who can easily see how it is that the completion of our salvation is assigned to our own will of which it is said... 'Draw near to the Lord, and He will draw near to you'... [this] is a declaration of the grace of God and the freedom of our will, because even of his own motion a man can be led to the quest of virtue, but always stands in need of the help of the Lord." - Conferences, 13, 9
This working together between God and man is sometimes called synergy, and is the reason that the Orthodox invite people to "come, taste and see" (cf Ps. 34:8 ) rather than trying to debate someone into converting. Though I suppose we do debate too.
I think taking it slow is the best way to do it, and trying to find an inner quiet (so you can hear the still small voice of the Lord) normally helps to. Past that, maybe try to prayerfully discern whether the Orthodox Church is, in fact, a truth telling thing.
And, definately: come, taste and see!
PS. Regarding asceticism, one thing that helped me was to view the whole spiritual life as being, in a certain way, "ascetic". For instance, Saint Paul speaks of a thing he calls a "work of faith, and labour of love" (1 Thes. 1:3; cf 2 Thes. 1:11) In Orthodoxy, we view not just "Sacraments," but even the "Virtues," as being from God (as all good things come from God; James 1:17). So we view the entire life in Christ as one continuous movement towards God--or perhaps better yet, one ongoing journey towards God on the narrow road. If we speak of "mysteries" (ie. sacrament) and "virtues" about particular things, it does not negate the fact that our whole life is suppose to be mysterious and virtuous. To an extent, I think of asceticism in the same way: our whole character and mindset is to be ascetic--though it can't be a merely outward asceticism bereft of inward purity and love and faith. Seen in that way, I think of fasting (or other things normally thought of as being "ascetical") not so much as just another duty or rule to follow that helps one get closer to God, but as something I can incorporate into my life which will make my love for God stronger. Of course, I don't want to draw too sharp a distinction here, there obviously is something properly called asceticism which is called such in order to distinquish it from other things; but the distinction I'm making has helped me (at least in my current immature state), so I'm passing it along. 