I only use tampons unless there are non on hand and I need it. I think it’s definitely a good idea to start using them to get an idea of what’s going on. Even better, you’ll know what it feels like where your opening is at so you can tell him, “Hey! You’re there, that’s the entrance!”
I also just thought I’d share my story, although Fiance and I didn’t wait till marriage (I’m a bad Catholic that way). He and I met and started dating back in high school, but never did anything but kiss. Then, after graduating, we started slowly easing further into it, just touching over the clothes. We happened to go to college an hour away from each other and were both living away from our parents. With the distance, it made sense to stay the night as opposed to driving back and forth. Originally, he was going to take the couch or sleep on the floor so I could take the bed. However, I knew I wanted to kick it up a notch and sleep (like actually sleep) in the same bed. I went and bought myself some super cute pajamas for the occasion. Then, on a whim, I also bought a pretty bra and some matching underwear (note, most of my underclothes don’t match and are fairly plain). I figured I could decide once I got there if they’d make an appearance. I am a plus sized woman, so I wanted to make sure I looked my best in order to feel my best and feel comfortable and confident. That first night, I decided I did want them to make an appearance, but it all still went very slow; undressing each other, feeling each other out, etc. That evening we only went as far as manual stimulation.
The next day, though, I started feeling immensly guilty, like you, because of my religious upbringing. I didn’t regret that it happened, but I felt guilty that I hadn’t waited longer. I talked to Fiance about it. He’s not Christian, so he never got the whole abstinence talk (he was a virgin, though), but he understood that I was conflicted and assured me that we’d take things at whatever pace I felt comfortable. So, over time, through prayer and self reflection, I became comfortable and at peace with becoming more intimate. Sometimes, it was just sleeping together and not wearing pajama bottoms. Other times it was taking a shower together. It wasn’t until 4 months from that first night that I felt fully ready to have sex for the first time. It wasn’t BEST SEX EVER, but it was absolutely perfect for us and things have only gotten better since then.
On another note, somewhere in that 4 month span of time, there was an occasion where I’d taken my top off and was moving on to other things when he stopped me and said, “Hold on, let me look!” I was confused because he’d seen me topless before. It was then he informed me that all those times before he hadn’t been wearing his glasses or contacts and thus everything had been blurry (he’s practically blind without correction). It was the first time he’d actually seen my boobs. It was interesting. As self conscious as I normally would have been in that situation, he’d shown before that he loved me and my body, even without having actually seen it.