Hi Second looks more common and correct. Though I see no problems about the first sentence, but still it is more common to use 'have been' when talking about places you've been to. Moreover, 'have been' indicates a movement action while first sentence doesn't indicate any movements from place to another.
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kane159I'm inclined to say the second sentence is correct, although I'm not sure why.That's right. It's simply a standard pattern with "first time" (or "second" or "third" or ...).