Aside from reading newbie guides (check at http://www.bigdoggie.net/ and here at TER) I would suggest a few things for your first experience.
In terms of remaining in the good graces of law enforcement, there IS no guarantee. We are all consentually engaging in behaviors that are tolerated and/or overlooked and/or ignored and/or not noticed by law enforcement. If you want a truly guaranteed-legal experience, you must travel to Amsterdam, for example, or Bangkok, or Tijuana. Each has its advantages and disadvantages ... cleanliness comes to mind. And safety.
If, on the other hand, you can relax enough, you might begin to view (as do many members of this hobby, on both sides of the gender coin) this behavior as a victimless act. It's not like speeding, where ya know that everybody knows that everybody is "really" allowed to go 10 MPH over the speed limit, so everybody does it and the cops only stop those people who do 20 MPH over the limit. Rather, it's like sodomy in Arkansas -- technically against the law, but doing it doesn't actually risk hurting ANYONE. (As long as you aren't over-endowed, that is ... heh.) So, there are some similarities to the speeding metaphor -- do whatever the cops aren't arresting. But there are some differences too -- speeding, even if you DON'T get caught, risks hurting someone. At least with providers, you've got the moral high ground.
Now, all that having been said, there are some ways to be reasonably sure that you won't run into trouble with the law. The best way, is to go with a reputed provider in a major urban area. She needs to have been reviewed several times here, by people who have posted several reviews of other providers, over a significant period of time. She needs to be someone who seems to know her way around the business -- either a provider who has been involved in escorting for several years, or one who works for an agency that is well-reputed. And when you're looking these things up, don't rely solely on TER. There are other escort-review sites out there. A good rule for any form of research, is to try to corroborate your information with several sources.
After you've picked who you're going to get involved with, go ahead and try getting to know her in advance. Be up-front about the idea that you haven't seen a provider before. Some ladies might even go so far as to offer a "free" or low-cost luncheon date, to get to know you. It's part of their job, to allay your fears. They know that, and they know how to put you at your ease, better than you might think. It's always a negotiation situation -- if you ask for something, they'll know you want it, and therefore you'll have to pay for it. So if you feel you need something that will convince them to go easy on you, suggest that you'll be looking to establishing a regular relationship with a provider, and since you're new to the scene, it's likely you'll want to meet only a few new women before picking the one you'll be sticking with. That will give the ladies sufficient incentive to wish to behave in a manner that allays your fears, and makes it possible for you and they to click.
Don't forget, that they can't possibly give you what you want, without you telling them. This is unfortunate, considering that if you tell them, then you're guilty of requesting an exchange of sex for money, which is the illegal part. So, there's a strange dance that goes on, between a customer and a good provider. You want something, and you can only guarantee getting it after you've sort of got the money concerns out of the way. With some of the really great women I've seen, they ask that I just leave the money in a plain envelope in plain sight, and she'll pick that up on her way out. Then, we chat, and somehow we hit it off (she's always been good at convincing me of that fact) and, as the clothes are flying to the four winds, THEN we can be verbally more explicit, once the act is begun.
Well, those are some of my thoughts. If you're in a major city, find some of the reviewers here and e-mail them for recommendations, as to who in your area would be a good provider for your first enjoyment of pay-for-play. Some providers "get" the concept of initiating a newbie, some don't. Many of the newer providers haven't 100% wrapped their head around the idea, that the payment in many ways puts the onus on the woman to provide stimulation for the man. They go into the profession with the mistaken assumption that it's just, getting paid to go out on a date. Sure, TECHNICALLY, that might be true, but for most men, that's not actually what we'd LIKE to end up with, and for your first time it would be wise to avoid one of those women.