It gets hot at the range.
Take another gun to shoot when it's hot.
8+1 is plenty enough for self-defense. Lots of 5-shot .38s out there.
"Euro" Heel Mag Release.
Practice. Mag changes will be quite fast when you get them down. Also, the heel release is ridiculously secure, and it doesn't create anything to snag on.
Mags are expensive.
It's an HK, get used to it. 2 mags is all you need to start out with, just rotate the ammo. When money comes pick up a couple more.
P7. It's the perfect carry pistol. 9mm, manageable recoil, quick to follow-up shots, great trigger, very easy to conceal, all steel (with weight suitable for pistol-whipping) and crazy accurate even compared to most full size handguns.
Yeah man, I tell ya what, man, them dang olí HKs, man, talkin' bout SUH-WEET, man, dang ol' point and click, baby, just, just, dang ol' awesome, man.
Another +1 on the P7 recommendation for all of the reasons already stated. If it's going to a CC weapon, all the more reason to go with a "heel release" Grade A/B/C trade in vs. P7M8. (1/3rd of the price of a NIB P7M8 and you won't cry when it gets holster marks and other dings from wear).
I own two grade A P7's (german trade ins, purchased from CDNN) and two USPc .45's.... both models have seen CC duty & I'd trust my life to either. I much prefer the P7 over the USPc for CC (granted the USPc is .45, not a 9) due to the 'extra' safety when a round is chambered, simpler safety (no worrying about safety levers when drawing), along with the smaller footprint. As far as capacity, I'm not sure 8+1 is that much worse than having 16 rounds. On paper, sure. However, if you're in a situation that calls for more than 9 shots, it's probably not going to end well regardless.
If you have the option I would recommend finding a local range that rents handguns so you can try various makes and models to see what fits you best. There are many handguns out there besides HK's and most are much better buys especially for the $ such as the 9mm Glocks and S&W M&P.
If it was me I would pick up a Glock 17 or 19 (whichever fits you better) and with the $ saved over the HK you can attend a training class, pick up a case of ammo, extra mags, holster, ect.
Gun control is like fighting drunk driving by making it harder for sober people to buy cars.