Ahhh.. I love that song! I would definitely dance slow. I think it fits the song better and will look better in general for a first dance. I think the song sort of changes tempo though near the chorus... you could either keep the whole dance slow or have him turn you to transition to the faster parts. Don't overthink it... people rarely remember how well the bride and groom dance for the first dance. Just have fun with it!
Wait... you are talking about the Peter Gabriel song right?