Will you be with someone? And what gender are you.
First time maybe you will just be making friends, and watching other people. Dance a little with someone you find attractive and see if it goes further.
Most swing clubs are in peoples houses, modified somewhat to take in the anticipated activities (several matresses on the basement floor, for instance or more specific devices such as swings, as well as private rooms),
Expect that you may be part of a threesome or foursome - this does not mean homosexual activity, just that there will be other bodies there.
People are people - these people just enjoy sex and dont have a lot of limitations.
Dont expect bondage or dominance play. Unless its that kind of club.
Dont open closed doors, they are closed for a reason.
Enjoy the hot tub - enjoy watching people have sex in the hot tub.
Chat and get friendly, dont just say "wanna f-ck"
There might be games of some sort, dont feel obliged to join in.
If you get laid, fine, but dont go away unhappy if you dont. You have to get to know the people, and that may take a few times.