Crow you ask the hardest questions because I really want them all.
I love first time scenarios, idk, it's one of my always go-tos & part of the reason for that is because I love thinking of all the different ways it could go & being unable to pick a fav!

For like ... post-canon when thinking abt what I want for them (= a happy working relationship) I do like all the slow, cautious, long-winded negotiation-heavy build-ups. And I mean it's fun because it'll inevitably mean sexual tension or outright frustration.
Also depends a little on definition of first time, any sex or specifically penetrative, because I think the time inbetween could also stretch so frustratingly long for both both sides~
Even then it could go so many different ways though!! And frustratingly long could be half a year or three. Because even though I love horny Reigen who can't wait any longer, I do think if he really had his mind set on it & was convinced it mattered, he would manage to wait. And he would make Mob wait, even if he hated it, too.
Also, office sex is undoubtedly hot, but I prefer that for not-first-times if it's supposed to be a good one khdfjlf The best place is Reigen's shabby little apartment of course. I imagine Reigen to not really prefer it there, I imgine him to not even really want to invite Mob there. But I love the idea of Mob loving the place, because it's small and Shishou's & it feels secure and they're talking hushed closely together in Reigen's single-person bed while Reigen feels up Mob's thighs and Mob feels up Reigen's chest...

I would say the above is headcanon territory, but that aside there's also so many other scenarios I'd love.
The feelings-so-genuine-they-barely-have-doubts ones... Less realistic, but I think they'd be so sweet <3 Them just losing all restraints once it's clear it's mutual.
Or fun this-was-supposed-to-be-a-massage-but-oops-it's-sex situations & the like.
In any case where they're remotely healthy, I think Reigen would be cautious though, gentle but also very alert to Mob's reactions.

The fun times aside...
Some fuck-or-die scenario first times can definitely be so incredibly, painfully good. But I do prefer them with pre-existing tension, instead of one/both of them really wouldn't want that under any circumstances. Like a forced feelings realization.
& then of course there's the awful kinda scenarios deep in thinking-via-dick territory, but those are not 'preferred', so I'll end it here :D