1. The Hymen - What kind of hymen do you have? That will determine how much - if any - bleeding you will have. If you take sex slow and use enough lube, you should not bleed and it should not hurt. Pain during sex means something is being done wrong!! I believe there is a sticky on this forum about the hymen; you should go check it out! If it's not on here then it's on Women's Conditions.
Lube is your best friend; when you two are ready, go buy some from either a sex-toy store or somewhere like Spencer's in the mall.
2. You two could practice other non-vaginal (or anal) forms of sex and mutual-masturbation to get him used to ejaculating when he wants to in your company. The sensation of a vagina may still overwhelm him and that's okay! It happens to a lot of guys. If it happens anyway, just kiss him, let his body relax for a few minutes and ask if he'd like to give it another try
3. Because you're both virgins, you're both likely to have a fairly clumsy first time. He'll slip out; you'll be too dry due to nervousness etc. Just take it slow and relax. I don't care what anyone else says; sex came naturally for me! My body did know what to do once he was inside of me. If you are in love then relax; everything will be fine as long as you go slow and pay attention.
4. My best tip is to try sex in the missionary position first. This position allows you to watch him; it allows him to look at your vulva and find your vaginal entrance by sight and by feel; it lets you help to guide him in with your own hands, etc. And remember the lube!
Oh, as an added note: Orgasm. I know orgasm is probably the last thing on your mind, but do consider this: Most women cannot vaginally orgasm. They can only orgasm from the clitoris. I don't know if you masturbate regularly, but stimulation of the clitoris during sex is most likely the way you will orgasm, so don't be shy about touching it or having him do it!