Hi SweetiDebs, you sound unsure about this, have you told your partner that your not sure? Communication is key. When indulging in any sort of bondage play it is really important to have safe words, to stop things if they get a little too much for you or your not enjoying something. Now I understand that if you were wearing a gag then a safe word wouldn't work.
My very practical solution is to hold something in your hands, eg. Right hand red pair of knickers, and left hand a yellow scalf. Yellow for I'm not sure proceed with caution and red for STOP. You can then express your wishes by waving the item, even if your hands are bound as long as the items are clearly visible, it should work.
Having said this before you do anything you must test your safe word alternatives, in a non play situation. You must discus any concerns you have, like "I'm worried I will not be able to breath" or "I'm worried I might choke". It's only fun as long as you are both having fun. There are breath through ball gags avalible, but one of the O ring gags might work best for a first time play. Rather than being blindfolde as well the first time, why not suggest the room be dark with just a couple of candles lit or a dim lamp on, so that there is some light but not enough for you to see what is coming. This should help with any chlostrophobic fears.
Please promise me you will not do anything your not sure of. Communication is vital.