Smoking with someone who's cool youir first time would be really beneficial to the whole experience, because they can kinda guide you through what you might be feeling and they'll help prevent paranoia from creeping in.

plus, repeating what everyone else has said about coughing:
Caughing doesn't make you a newbie at all, I've been smoking frequently and I smoke about a pack of unfiltered cigs a day, and I still cough my lungs out whenever I smoke a good joint or bong.