Give yourself permission. Permission to make mistakes. Permission to be disappointed. Permission to change your mind. BUT, not permission to simply quit. It is important to start young in life learning to push through the hard times. If there is some aspect of a lesson you just aren't getting, google it. I can almost guarantee there is a youtube video covering it. I did that when I was in school. I wasn't grasping what the professor was talking about. He didn't present it in a way that made sense to me. So, I found alternative instructional sources to supplement his lectures.
If at some point you decide it really isn't for you, see if you can take it in a different direction. Many people make good money doing "art" with scrap metal. Welding encompasses many areas, and there are many different types of welds, different types of metals, etc, and different uses for the skill. Before you totally abandon it, ask yourself if you can use it some other way. And, if you have a job doing welding, and want to quit, you have to ask yourself if you are having problems with people or just don't like the job. It could be the only way to know is to take a job elsewhere and see how you feel about it.
The further you progress in your trade, the greater your confidence will become. When newer students ask you for help, it will boost your confidence. If you get ribbed by the guys, let it roll off. I think it is awesome for women to be in non-traditional fields. I had all this self doubt and more when I became a police officer. As I advanced in my career, I had gained the respect of my fellow officers and supervisors. There are ways for you to do this in welding as well. ALWAYS take pride in your work, and do the best you can. Never say something is "good enough." Strive for perfection. (but again, give yourself permission to be a human!)
I hope this makes sense. . . .!