Personal lubricant is sometimes used during masturbation, especially when penetration is involved, but this is not universal and many women find their natural lubrication sufficient. Be confident. Masturbation is common even for those who are married.
While you're probably used to lying on your back and using your fingers or toys to stimulate your G-spot or clitoris, try moving around and masturbating in different positions. Use the water pressure to stimulate your clit or just slide down in your tub and let the spray from overhead do the same thing. People who masturbate may do so in different amounts. Plus, it's also more comparable to the sensations caused by a partner's hands, so if you have any interest in partner sex, it'll help you transition from one to the other more smoothly and gives you information for your partner about how you like to be touched. Joking aside, there's no risk of pregnancy or catching a sexually transmitted infection STI from masturbating on your own.