You can bite off a smaller part of your world to start with. When I first implemented GTD I did it mostly with my professional life; implementing it for home/personal life came later on. One thing you might ask your self is which life aspect seems most out of control to you; or, if this question works better, what's causing you the most anxiety? Start there. There are a few things to think about, though, if you start smaller instead of fully collecting and processing:
1) within whatever life domain you pick to start, make sure you have all of the projects that fall within that domain captured in your system. That is, if you decide to first focus only on your job, get ALL your job related stuff captured. If you decide to focus on only one of several distinct roles within your job, make sure all of the things related to that role are captured. That'll both give you a better sense for how the system works and will lead to a feeling of payoff. You'll feel better about that part of your life relative to others, which is good motivation for continuing the process until your system encompasses all of your life.
2) related to Oogie's point about thinking about what you need to focus on now versus what can wait a bit, make sure there's nothing with looming deadlines/requiring immediate action that you're not capturing in your new GTD system.
3) related to Bish's point about maintaining multiple systems, you'll need to keep up your new GTD system AND continue to work with whatever system (or lack thereof) you're currently using; you'll need to keep the GTD system going with whatever parts of your life you've set up and keep managing the other aspects of your life the old way. This, too, can be good motivation for moving more of your life into your GTD system.
4) last but not least, something that both David and coaches have said multiple times is that the real payoff to GTD comes when everything is captured and in your system. If you start small with a single aspect of your life, you need to be realistic about the payoff. You'll definitely feel better because a chunk of things that are important to you are captured in your new system, but you're still going to experience anxiety, disorganization, etc. because not everything is in there. The real payoff is down the road when you complete your implementation.
Good luck!
--Marc