Should I sleep with him on the first night ?

Well the answer, depends on you.
If you're going for an arranged marriage, chances are that you are not very comfortable. Relax. Its more likely than not that he's tense too and don't let the pressure of 'performing' spoil your first night. Also its likely that you've had a long day and you only get together late into the night, when you're tired.

Says Reena (a newly married bride) : "I was nervous...didn't know what I was expected to do and just let him make all the moves". Hubby, Gaurav as it turned was equally nervous. Although they had been engaged for quite a while, this was to their first night together. Gaurav wanted to be as gentle as possible. Also he wasn't quite so sure how he should begin. It took them all of their honeymoon to get to know each other intimately. Many couples find this to be the best time to open out to each other and 'discover' each other. 

Never underestimate yourself or your looks. As the saying goes, beauty lies in the eye of the beholder. Most men are extremely conscious of themselves and their performance. A warm smile and a sincere compliment will work wonders in the sex department. 

On the other hand, both of you may have planned your first night to be a wonderful way to have begin a life together. The day itself, the ambience of your wedding bedroom may provide just the ideal setting. Just go right ahead, with all the spontaneity and happiness that the occasion brings forth. The bottom line is to relax and be yourself. And the rest will follow. 
Smart Bride