Leg warmers - although I always take them off when I'm climbing or doing work up on the pole. You may be able to keep them on. I find I slip and slide too much.
You can also learn bare-footed. Each instructor has a different teaching style, some like heels, some don't allow them, some are ambivalent. Check first.
what not to wear to intro to pole
Don't wear your rings and jewelry! They will scratch the poles and get in the way.
Sweats, leggings or yoga pants. These can sometimes be ok if you are doing lots of spins, but other than that, keep them to pull on after class or wear during warm-up
Long sleeves. You need maximum arm skin exposure too! You can bring a shirt to warm up in though, but remove it when you're ready for pole work.
other tips to be prepared
You are going to be working out, and when I pole, I ALWAYS break a sweat! You might be different, but pole dance is hard work. So prepare as if you are going to exercise:
Don't have alcohol to calm your nerves. This isn't a party (unless you are having a private bachelorette party, check with the studio first!) This will increase the danger factor and your risk of being injured.
Eat a small healthy snack just as if you were going to the gym. Once I was so hungry when I got off of work I ate a whole bowl of French Onion soup (my favorite!) with cheese and croutons and had to leave class to throw up. Not cool. Won't ever eat heavy again before pole class. Enough said.
Hydrate. Drink water before and bring cool water to class.
If you want to try grip aids, I would suggest saving these for later, when you start learning pole holds, how to climb and invert. I didn't use them much for spins, sometimes Dry Hands if my hands were sweaty.
Bring a small towel to dry your hands, legs and face. You get sweaty and it interferes with sticking to the pole.
Your legs will be wide open in a lot of moves, maybe not your first class, but you will get there. I shaved my lady parts for a long time before I decided to invest in laser hair removal and am so grateful. No more spiders sticking out the sides of my shorts if I forgot to trim things!
Remember, when deciding what to wear to intro to pole, be yourself and wear something that you are comfortable in too. I used to be self-conscious of having fat on my body but realized there was plenty of cellulite and imperfections all on display around me in class and it helped me to overcome my self-consciousness and to focus on my sensuality and strength.
There is no stripping off clothing or nudity in these types of classes. No worries here!
Again, your local studio, or wherever you are going to be taking your first pole class, should provide you with some of this same information, including what to wear to intro to pole. If not, don't be afraid to ask. This is YOUR first pole experience and you want to make the most of it and have a good experience.
Most instructors want the same for you and will let you know what you need and if there is anything they do not allow.