Hi,
We went yesterday for the first time. We used Huggies swim nappies and bought some little trunks from boots which are like nappies as well, we used both.
My advice, whilst in the pool, keep them close to you and have constant eye contact and smile loads.
The changing part afterwards was rather tricky I have to say. I would say, put LO in his/her swimming gear before you leave for pool (under normal clothes) and then you can just whip them off and straight in. Make sure they are wearing easy clothes, romper suits, all-in-ones etc.
I would also say it's a good idea to take them into the shower afterwards and give them a rinse off as the chlorine can agravate their skin.
Have a warm bottle or boobie at the ready afterwards as it makes them very hungry.
And don't expect lots of laughs the first time. Our LO was quite serious and overwhelmed by it all. She didn't cry (much) though.
I'm sure you'll have a fab time.