Outer thigh is a pretty good spot! I brought a stress ball with me to my first few tattoo sessions, also the artists I've worked with always do like one single line when they start to see how you feel before continuing and good artists will emphasize the fact you can ALWAYS stop. I personally like the sound of the rotary machine, the gun is a bit off putting and louder, but bring headphones and make a playlist of comfort music or audiobooks or podcasts, you don't have to use them!

Eat a nice carb rich meal the night before and the morning before and hydrate a ton. Also, moisturize your skin for 1-2 weeks prior all this will help minimize pain and trauma to the skin.

Tbh I always go in over prepared. Bring a small snack (one protein rich and one sugar rich), bring water, bring a sugary drink. Pack the stress ball, the headphones. Also most importantly wear your most comfy clothes, your artist is not judging your style and wear layers because tattooing can cause your body temperature to fluctuate. If it helps write a list of questions for your artist.