Thanks Jameskoru and Rick2301. I am the anxious type of guy (not that I consider myself unattractive or not endowed), it's just that I am not out and as a result I never had much practice with a guy really. I'm alone for the next few days and I really want to explore myself further, but it's just the courage to go and do it.
I'm not sexually active (ignoring wanking) so I don't know much about PreP but I will read more about it. I'm not trying to be judgemental at all, however I have read that it's mostly unprotective sex at Vault 139 and it can get dangerous infections wise. Hence why if I decide to go (and hopefully my legs won't break from shaking as I'm getting there), I would prefer to watch and at most wank without any further interaction, at least for the first time.
Of course I do have the idea that it is one of those things where you are scared to try it, until you do and you start to enjoy it too much, something like an extreme waterslide at a water park. After which of course I will need to ensure I protect myself and the others.
UPDATE: I had some courage and I went on Wednesday night. It was the underwear party although I went just before 6pm. It did get progressively busier after 7pm.
Wow, it was quite an intense experience. First thing, I felt completely safe as soon as I entered. Everyone working there was very friendly which helped me ease a bit. I grabbed a drink and sat down to relax on one of the couches and shortly after a few men came to speak to me. They were all respective of me saying that it's my first time and that I would just like to watch.
After some time I started walking around the corridors and began to get an understanding of what this place is about. Strangely (or not) it felt really normal and safe and at no point was I made feel uncomfortable. It took me a while to arouse myself because if my anxiety, but I must admit I had a good time.
I met a cute, tall guy with slightly longer hair who was into me from the beginning. I could see that because he always seemed to look at me and slowly walk after me. I did sit down to relax after my first time (wanking), and he sat close to me, touching himself whilst looking at me non-stop. Whilst at first I was slightly anxious, this feeling slowly disappeared. I did let him touch my body but that was it. He understood my concerns and was fully respective of what I've told him. He did want me to wank with him and watch me cum, which I had not problem with. It's interesting how we both came so close to each other as if in sync.
At some point during the night I got really hard again because there were a few guys fucking, which turned me on so much. At that point the bar was very busy and there were so many guys close to each other. Whilst at some point I felt too hot/running out of air, I do blame it on myself for being slightly anxious. At the same time I was turned on just by watching, that I could barely keep it in my underwear boxers. There was a very good looking guy in white socks who was very endowed and started to fuck another guy in the area adjacent to glory holes. I had my eyes on that guy from before, because I could see that his package could barely fit in his light-blue CK's boxers. I just happened to be there to watch and touch myself until a lot of other guys came to watch and join too. As I was there first, I was the closest to the two guys fucking. My fingers are shaking as I'm writing this, however feeling the heat of the guy in white socks along with the moans of the other turned me on so much. I briefly touched and ran my hand down the top guy (starting from his back down to his leg), feeling his muscular and slightly hairy body. I then moved my hand close to the bottom's ass and I could feel the thrusts of the guy in white socks.
Whilst I only watched them and very briefly touched them (they had no objections however I was afraid to leave my hand there and disturb them), at that point I was leaking with pre cum. I'm not sure if I can explain to myself why I get turned on so much just by being so close to them and feeling their movements and heat, however it was intense pleasure without me even joining.
At some point I went to the bathrooms to wash my hands and body and I saw the guy. He was super friendly and we had a brief discussion on how he knows what he's doing lol. (My stupid, worried ass did not know what else to say so I congratulated him and told him that I could barely breathe after watching him breed the other guy).
Before I left I stumbled across the tall guy who liked me and we had a brief conversation. He asked me what gets me horned up and I told him that just watching a guy with an innocent look on his face fuck hard made me cum so good that I lost my mind. He really wanted to see my cum again and at some point he went to the glory hole section with a guy and started fucking him proper hard whilst looking up through the door staring at me. He knew I was there wanking whilst watching him and he started going harder and harder. I'd assume he was getting turned on of me watching him fuck. To be honest, I did not expect him to be that dominant because he was a skinny, young looking guy around my age (I'm 25 btw). Not long after I came for a third time and I had to say good bye to him because I needed to go. I grabbed my clothes and left, and to my surprise it has been past 9pm!!! I couldn't believe I stayed there for over 3 hours, I thought I stayed for a maximum of an hour.
I'm posting this because I do want to share this experience. I'd like to thank everyone for the helpful suggestions which ultimately gave me some courage to go (I was outside the venue for about 10mins debating whether to enter after which I said to my self it's now or never. Good thing I went.)
Apologies if this is a very long comment, to be honest I'm not sure even if sharing that much info is allowed in this thread, so please let me know if not.