I have to address one thing first. I don't know if it was a typo or you 'misspoke' or what-have-you, but you said "we are thinking about having sex already". Already, as in, this is too soon for you? If so, this may be your first clue to STOP and really think about it. If you have any reservations about going forward with intercourse, you need to not do it. You can't take it back once it's done, and it's not going anywhere; Sex will still be there later, and it'll be even better when you're ready for it.
Now, onto your questions ...
Using condoms alone for pregnancy and sexually transmitted infection prevention is as safe as you make it. If you use condoms properly (with lubrication, for all genital contact, etc), condoms are about 85% effective with typical use. Condom mishaps do happen ... A condom can break/tear or slip off the penis and be left in the vagina. You can prevent tearing and slippage by using appropriate fitting condoms (they should be snug, but not too tight), additional lubrication (the lube on the condoms just isn't enough!), and having your partner hold onto the base of the condom when withdrawing. In the case of a condom mishap, there is emergency contraception (EC). Emergency contraception is a high dose of hormones taken after unprotected intercourse to prevent ovulation and/or implantation. See the link below for more information on EC.
You can also use a backup method of birth control. Many couples use the birth control pill as well as condoms, or pair any two methods together. If you're uncomfortable using only one method, discuss your options with your doctor and your partner.
Not all people with vaginas bleed the first time they have intercourse. Being a virgin does not mean the first time you have intercourse will hurt or that you will bleed. You may bleed, but this should be very light and only last for a few hours (a day at the most). It is not wrong for either to happen. Some people with vaginas do bleed if the vaginal corona (more commonly called the hymen) is ruptured. The vaginal corona consists of thin folds of mucous tissue that covers part of the opening to the vagina from birth, and naturally wears away over time. Many people with vaginas have very little vaginal corona left by the time they're sexually active. See the link below to learn more about the hymen and virginity as a concept.
Having intercourse for the first time should not make your period late. Charting your periods (if you're not doing so already) will give you a better sense of how long your cycles are and when you should expect your period, so you're not worrying for no reason. You need to be realistic though, if you're taking precautions (hormonal or barrier methods ... the pill, condoms, diaphragm, etc), your chances of pregnancy are quite low. If you find you're stressing about pregnancy even though you're using precautions to the best of your ability, you'll need to reevaluate your readiness to be sexually active.
Check it out;
- Ready or Not? The Scarleteen Sex Readiness Checklist
- First Intercourse 101
- Safe, Sound & Sexy: A Safer Sex How-To
- STI Risk Assessment: The Cliff's Notes
- Condom Basics: A User's Manual
- Birth Control Bingo!
- The Buddy System: Effectiveness Rates for Backing Up Your Birth Control With a Second Method
- Emergency Contraception
- Magical Cups & Bloody Brides: Virginity in Context