Hi Fairy Queen. Since you're considering having intercourse for the first time, you might want to check out our handy dandy sex readiness checklist at http://www.scarleteen.com/sexuality/readiness.html.
As to whether or not you shave, that decision is totally up to you. It really doesn't matter much one way or the other. It's your body, and there's certainly no reason that you HAVE to shave. If you do choose to shave, make sure you use plenty of moisturizer, because those little red bumps can become irritated/irritating during sex.
In the future, before you post, try clicking on the smaller "search" button to search the boards. That way you can see if your question has already been asked by someone else and answered, which this one has, many times. And welcome to Scarleteen
*Limes Are Sublime*