Is the cold sheet treatment very messy? No. You have quite a bit of paraphanelia you have to bring into the bathroom with you, but that is easily put away the next day. The only messy part is having to void in your bed. Some people can't make themselves do that and get up to go to the bathroom.
How do you feel? Every person has a personal experience that is unique to them. I got extremely hot, weak, delirious, and had a huge emotional release just after the bath, then a really peaceful time while in bed. Looking back on the experience, that emotional release was a turning point in my healing, so I'm glad it happened the way it did.
Casandra has done lots of CST's and can probably share a lot of insight with you.