I am the same I sometime only have 4 people. with the very first set I set it up, I take them around in little circle then back the other way.
when we add it for the first time I just them get the foot work and they do not move it anywhere.
The second time I jump of the stage and go around saying hello to everyone and that gives them the idea they can go any where.
then it is the shimmy bit I stay on the floor with them and make them all come in close and we shimmy together (this does not work with a big class) this moves them again letting them know its okay to move around the room, so the next couple of times they are more comfortable to move around them room freely.
also when i teach it at night i turn the lights off and only have spotlights on (like yoga lights) at that makes them feel heaps more comfrotable because altho they can still see, but not as well. So if you have that ability you could try that.
Also if you have a small class try and get there names before hand introduce yourself, that will also help them feel more comfrtoable.