One thing that's important before penetration is that you're aroused. You don't have to go "all the way" the first time. As others have said, just explore each other's bodies, with no pressure to go beyond that, and try to relax and enjoy the sensations. Learn what you like and what you don't. Let him know what you like and what you don't. Everyone's different; there isn't a right way and a wrong way to enjoy sex.

As for oral, that's your prerogative, and I certainly understand your fear. Does your fiance (I don't really agree with "soon-to-be-fiance" because if you know you and he want to get married, then you're already engaged) know how you feel about performing oral sex? Some guys expect it, but you shouldn't do anything you don't want to. I find the taste of semen makes me want to vomit, so maybe I'm one of those women you talked about. I have never actually vomited, so maybe not, but even the anticipation of semen in my mouth (or sometimes just the smell of it) causes me to react strongly.