As Dan said, for your first time you're not likely to feel a difference. The only thing that could possibly be bad from wearing a condom is if either of you are allergic to latex (which you'd most likely know by now, from doctor's visits and such) in which case there are safe alternatives. There's also his, hers, and shared pleasure condoms. Oh, and don't try to showboat and get a "Magnum" if it's not really that big... the right size=best protection. Oh, and you don't need to "double bag it" or anything. The best practice is no glove no love. Oh, and if the condom starts to come off or pulls up, don't just readjust it.. get a new one on.
If you don't want to use a condom, your best bet is your hand.
Have fun and stay safe!