Different clinic's have different approaches..
Some will use saline to get you started, others like my clinic will use insulin from the word go..
Starting with insulin wasn't daunting for me, because I had done plenty of research into pump therapy before starting, so it was such as 'unknown' to me...
I was told to disconnect the pump and play with the controls and not worry too much about wasting insulin, while doing it..
Best thing to do is ask your clinic what their starting off procedure is, and if they do start with insulin, they you need some further advice concerning your last background dose, which is likely to be, if your background is once a day, you half your dose, if you inject twice a day, then your last background injection will be the night before you start, and you miss your morning injection...
I was lucky here, as I injected twice a day, and when I started pumping, was 11.30am in the morning which was exactly the same time I would have injected my morning background!