You do not have to let anyone know that you are seriously considering whether the claims of Jesus might be valid. It can be a secret between you and Him.
Go to Him when no one is looking. Ask Him about right and wrong, since it’s the subject He cares most about. Remember that His idea of right is loving Him wholeheartedly and others enough to die for them. Don’t worry about anything beyond the day before you. See what happens in your heart. It’s not likely you’ll feel led to die for someone, but it is likely that you feel like you should be less selfish and more forgiving toward the people in your life.
Act on what He shows you. You don’t have to explain that to anyone either. Doing right speaks for itself. Do it enough and people will know you’ve been interacting with Jesus whether you tell them or not. If you get mocked for it, don’t waver.