"The first time to do" is not correct grammar. "The first time doing" is correct grammar, but sounds a bit unnatural. You usually use this phrase with a possessive pronoun: my, our, your, his, her, its, and their. EXAMPLES: I play the piano, but this is my first time doing it in front of a large audience. He played tennis as an amateur, but this will be his first time doing it as a professional You could also say: The first time you do it you may feel a bit awkward. If you want to go to college, the time to do it is when you're young.