I wear arm warmers when the temps will start out cold and warm up. I never wear leg warmers, but when temps are that cold I'll just wear tights or capris or something to keep my legs warm.
Arm warmers are great because you can pull them up or down or halfway down as the temps change.

So it's your first, eh? SUPER exciting!!! Just remember to have fun and don't worry about your pace. Enjoy the experience!