Hey buddy! And welcome to a fellow Australian.
Hmmmm....you are askin' alot of questions. I'd go and search the site a bit and find some of the previous threads about this issue.
In the end, though a men's spa is great for availability and sheer volume of sex, I'm not so sure you want your 'first time' to be there...or maybe get taken by someone you know that can kinda help you along. To be honest, you gotta do what you feel comfortable doing.
If you want to suck some cock, just try it. It's not at all like eating pussy...or at least my straight and bi friends have told me so. As for anal sex, dude that's a pretty serious move for you to make if you haven't had any male-on-male experience. I'm not really one to say, as it was what I always wanted to try (even at age 12) and it was my first sexual experience...but the vast majority of guys who do it seem to move to it from other activities.
I suggest you find someone you know and like and just play for a bit before going to the sauna. But if you can't find a Friend-With-Benefits, then by all means go and have fun...but be sure to play safe and use condoms.