No, it's not weird. Everyone develops their own experience in this respect their own way, and for plenty of people (particularly girls/women) it takes time to get used to masturbating, and to find out what works for you. Don't feel any pressure to rush anything; it's all at your own pace.
There's not a single answer to how messy it gets, whether you're talking about masturbation or sex. Depends on how wet you get and what you're actually doing. You don't need to change your sheets every time you have sex. Again, it depends on what you were doing and how you were doing it. There'll be times when it is messy, and on those occasions you will just change your sheets. On other occasions cleaning up afterwards, if you need to, is easy enough. It definitely isn't anything that should actually stop you having sex, even if you're a neat freak.