Absolutely! Pay attention to the amount of bleeding you typically have at the start of your period and choose a tampon with the right amount of absorbency. Most women start very light, so you may want to use a regular size tampon. The menstrual flow, even when it is light, acts as a lubricant which helps when you insert a tampon. Don’t forget to change at least every 4-8 hours.
Deciding when to wear a tampon is a very personal choice, but I can’t think of any reason why you couldn’t. I wouldn’t recommend putting one in the morning in anticipation of it starting, but there isn’t anything wrong with using one when the time has come. Because I’m still not always sure when I’m exactly going to start, I usually wear a panty liner around the time when I think it should be coming on, and then switch over to a tampon when the evidence presents itself.
If you’re immediately comfortable using a tampon on the first day of your period, go for it. Tampons were made to be used when you’re on your period, whether it’s your first or your last. I wasn’t exactly comfortable with the idea of tampons when I first started my period. But after converting from pads to tampons, I can’t see myself ever going back.