Entirely up to you!
Having a “first look”, which involves a special moment before the ceremony when your fiancé’s sees you for the first time, can allow you to finish taking some (or all) of your photos prior to the ceremony, which in turn leaves you more time to enjoy the cocktail hour with your guests. It is also a great way to guarantee that your videographer will capture your fiancé’s reaction to seeing you for the first time. This mainly applies if you are having one videographer. During the actual ceremony, it may be difficult for one shooter to film both your entrance AND your fiancé’s reaction. Doing this in a more private setting makes this more attainable.
It is less common to have a first look if having a church ceremony.
If doing a first look, it is typically scheduled to take place about 2 hours before the ceremony, which again gives you plenty of time to get your photos out of the way.
Besides having a first look with your fiancé, it is becoming quite popular to have first looks with parent(s), siblings, or the bridal party.
All of these are very special moments and provide great content for your video, but there will also be plenty of other great moments throughout the day too, so it is not entirely necessary to do first looks.