I've done it, albeit not entirely of my own volition. Provided you don't admit to anything illegal whatever you discuss with a therapist is confidential. Though this was in Australia - I'm not sure if the laws might be different in your country, but I would assume that simply talking about feelings is fine. The first thing the therapist will probably ask though is if you've ever "acted on your fanaties".

From my own experience, however, I'm not sure of the usefulness of 'coming out' to a therapist. The therapists I've discussed this with have spent the whole time trying to convince me of how 'bad' it is to have thoughts about children and that I should never, ever act on them. Such talk isn't very useful from the perspective of therapy.

As for your friends making jokes - that's a good thing, as it means they accept you. If they were uncomfortable with you having come out they would certainly not be joking and most likely would avoid the subject all together.