You could try focusing on DILDs first. Do this by doing reality checks during the day and be aware of your environment (a good way is to think of everything around you as a dreamscape).

I would imagine trying to MILD when you've never had a LD makes it harder, since you won't know what becoming lucid feels like. This might not be true though.
Also, MILD is best attempted after a WBTB, not when you go to sleep for the first time. This is because you'll be able to concentrate on a dream you've just popped out of.

Going to sleep while thinking of dreaming is important for dream recall. You should be doing this when you try to have a MILD, so that makes little sense.