I have the same problem with assertiveness as well. I try seeing it this way: the fact that you feel bad about saying no might mean you are thinking deeply about its consequences. Although it's best not to worry so much about how others feel when you say "no," it does show you care about the changes saying "no" might bring. Once you learn to say "no" more, you'll probably be much more thoughtful about it than someone who just says "no" willy-nilly.