Do you have to have vanilla sex with your partner before you do more kinky stuff? Or can you just go straight to the kink right away?
I'd advise taking things slow, vanilla or kinky. But what is kinky? One person's kink is another's vanilla. That said, it is my opinion, that is what you are asking for here, that it should be vanilla first, then slowly introduce the ropes and handcuffs and whatever else you may happen to think will help things along or enhance the experience.