The First Dance of the wedding is monumental. There is debate that folks say the couple should dance the whole song so they couple can relish the moment and the videographer and cameraman can get different angles of the couple during the dance.
I do not believe in should. All weddings are a product of the couple so they can choose how long their song and dance can be. If the couple wants to dance for a few minutes and the dj can fade the song away can be an option. If a couple cannot decide on one song, the dj can premix two songs into one and couples can be creative with their dance. The first song can be a slow song then it can turn into a salsa song to add some spice to the dance. Speaking of being creative, the couple can hire a dance instructor for their first dance. Also communicate with your dj so he can play the song when the couple are on the dance floor since it may be choreographed. It would be good to get the right song version. Best advice, that I can give is to practice the first dance with the music before the wedding. Practice the moves and also smiling. Some people get nervous and forget to smile.
When does the first dance happen? When I help set up weddings, I do suggest having it right after the grand entrance. All the attention is on the couple so why not grab their attention for a few minutes more. There is no food in front of the guests so there have less distraction during the first dance.