Lingerie suggestions and how to go about it?

Me and the guy I’m seeing were having sex and talking last night and he brought up the idea of me buying lingerie and wearing it.

I’ve never bought any of those types of things, and I’m rather not so confident with my body. What styles are best for curvy women ? Do I just wear it under my clothes? How do I not feel embarrassed if he sees me wearing it? Sorry if these are silly questions I’m not so experienced in lingerie or anything 😅.

Thanks In advanced!