Ok, now I get a different picture.

Please, be careful if he just got out of a long-term relationship. It's not likely he'll be ready to develop emotional connection with another girl that soon and you seem to be expecting too much from him already. As I said before the red flag here is for the mismatched pacing in the relationship.

I don't romanticize ''first times''. If you want to have sex with him, do it. Just be careful not to mix up things, considering how attached to him you said you are. If you know you're getting hurt, then back off. One thing is learning and gaining experience from a situation, another completely different thing is neglecting your guts and biting more than you can chew.