Instead of entering the world of Worm as a Host, you'll become a (baby) Entity instead. The appearance of your Avatar, if you have the appropriate Shards, is determined by your choices in the Character section. The Perks and Drawbacks that apply to you will target your Avatar if you have one or your Entity body if you don't (except for the ones that affect their Shard or the World).
If you picked an existing character, their mind will be uploaded to the Entity's consciousness and their Shard will be integrated. You have control over who can enter your nesting dimension(s). Zion or another Entity would be able to force their way in. If you have All Seeing Precognition your Shards have improved abilities to pierce defenses.
You are immune to Master, Stranger, and Thinker parahuman powers from other Entities, as well as from your own parahumans if you desire. Your Avatar and Constructs share the same immunity. Another Entity can still use their Shards to scan you if you have no defenses against it and you can do the same.