The first one is for the experience. The ones after that can be for time.
I wear tri shorts for the whole thing. They're designed to get wet and then dry. And they're designed to be comfortable to run in. I don't like trying to get wet clothes on and off. The only thing I take off is the wetsuit and the only thing I put on is socks, helmet and sunglasses. It keeps life much simpler.
I disagree about the wetsuit. I think that if it's legal then you should wear one. The flotation they give goes a long way toward making the swim faster and easier. If you wear one, practice swimming with it and taking it off. Wear it in the pool to get the feel of it. You'll think you look silly, but most people will understand that you're a triathlete practicing in your gear. Then practice getting it off. Don't be afraid to sit down to take it off. You don't have to hop up and down on one foot to get it off.
Check out
www.beginnertriathlete.com and
www.trinewbies.com. They're both great resources for beginners (and non-beginners, too).