I had my first just a couple of weeks ago, and my second just last week.
Definitely nerve-wracking stuff, but exciting also to be doing something I never imagined myself doing!
The wiki you've already been given a link to was of great help to me, as it let me know what to expect.
There were still several hurdles to get over though:
-getting the courage to make the call
-walking into the hotel, imagining everyone would be looking at me (nobody was)
-knocking on the door, and waiting to see who answered (a pretty young lady, in a sexy outfit)
-getting naked and doing he deed with a total stranger
Each of those was passed with surprising ease though and, once I was in the room with the girl, I had a nice time. Not perfect, I still have a lot to learn and some personal issues to deal with, but still good.
Before my second time, I came back to the forum and got some excellent advice from our fellow punters.
So, my advice as a fellow newbie is read the wiki in full first, then ask any questions you still have on the forum, then suck up your nerves and go for it! It'll be worth it!