It's important to make your first time a positive one so that your vibrator doesn't end up in the back of a cupboard being neglected. So here is my advice that is based on my own experiences.
Don't put it straight in without lubrication. For me I use the tip of the vibrator to stimulate my clit which in turn gets me excited and providing a natural lubrication or alternatively use a lube that can be purchased from Love Honey.