I decided to just go for the big chop. I didn't want to ease my way into my transition. After not relaxing my hair for about 6 months I went to my stylist and had her chop it all off. I went from having long hair to no hair and I loved it. Everyone complimented me. But when I got home all heck broke loose! It got even worse as my aunts and uncles saw me. This was back in 1998, before there were as many products and websites for curlies.
Fast forward, 12 years later, my family now comes to me for hair advice, and some have even opted to forego the relaxer for their natural styles. Sadly, there are still people who aren't as willing to accept change. When you aren't able to find the support you need from your family, you can go to different blogs and message boards where your hair will receive all the love it deserves. Just google words like 'natural hair', 'curly hair' and a myriad of sites will come up.
Good luck on your natural path, and don't be dismayed.