I always get nervous, so I have learned how to deal with my nerves. It's gotten better over the years, but I am prepared that I will always freak out waiting for warm-up to start.
I generally start prepping an hour before my event. I make sure I'm dressed and have hair/makeup done by then so I don't have to worry about it. iPod goes on then and I stay pretty within myself - my friends know generally I only talk to my coach, though I may say a few passing words here and there. I start with running to get warm, then stretch a bit. Do off-ice jumps, then more stretching. Run my program on land a couple of times - one to do the jumps and such in their spots, and one focusing just on the expression. Then skates on and walk in them to loosen them up just enough that I'm comfortable. I listen to music up until the warm up, and then if I'm nervous and have a late skating order I will do so after warm-up too.
I really try not to focus on placement. I set a goal for each competition - like, hit my camel spin, or skate slean on my jumps- and focus on that instead. I don't watch others in my group because I don't want to worry about what anyone else did or didn't do.
Although it may not sound like it from all of this, I truly love competing.