While it is entirely proper to do it either way, there are pros and cons to having your first dance after the bridal party introductions. The pros being that your guests are already focused on you after the bridal party introduction, and this is a dramatic time to have your first dance while all your guests are still present. The cons being that this is one of the highlights of the reception, and then you are going to stop all the excitement to sit down and have dinner. Many guests will think that they have already seen you dance so they may leave at the end of dinner.
When you save the first dance until after dinner, this is the time to engage your guests in your reception celebration. The first dance will be followed usually by the father/daughter dance, the mother/dance, and then an all dance number which kicks off the dancing for the evening!
Remember it is your choice and the bride should always have things in the manner she would like them on her wedding day!