I would bet that a large percentage of people have a 'story' about their first time. I distinctly remember my boyfriend at the time going into the bathroom to put on a condom - and he kept his socks on the whole time
As regards the slipping out - you may just need to try different positions. Try not to rush things and definitely don't get frustrated with each other.
If you wanted to 'practise' alone, you might try using something artificial and of a similar size to your boyfriend

to find how best you can keep things ticking along - not essential though.
Bottom line is, please do not worry!!
Bookmarks