I'm not really sure about when people normally do their first dance. I've watched a lot of videos, and it seems like a lot of people do their first dance after they've been announced, before dinner, but my MOH is telling me that it's almost always after dinner, because it's supposed to start the dancing for everyone else.
My FI and I are trying to be creative, so we want to make sure people are watching. I figured immediately after being announced would be the best time for this. I'm usually one for "there are no have-to's anymore," but I was just hoping to get some opinoins on the matter.