One can astral project when the physical body is asleep, while the other ones are awake. And one can astral project via lucid dreaming as well, though it is important to make the distinction that lucid dreaming and astral projection are not the same thing, contrary to what many people will tell you. Though, since I cannot prove that to you, I am forced to say that that is just what I believe to be the truth on the subject. Others will tell you differently.
The frightening feeling you get is one that many people initially get upon learning to astral project. It might happen a lot at first before you fully get the hang of it. But eventually you get use to it, and you don't feel so frightened anymore. Once you get to that stage, it will be a lot easier.
One thing that helped me back when I still had some fears of astral projection is thinking about my state of mind and making several observations. I had fear about going into it, but once I was actually there, and having a first-hand experience, I was not afraid at all. It's not as scary as you think it might be. If you have any kind of mild social anxiety, you probably know this feeling. You are so anxious to introduce yourself to someone, but once you actually do it and shake their hand, you realize that it's not that bad. Astral projection, for many, is very similar. Think of the feeling that frightens you back as kind of a "breaking-the-ice" stage.