I came out of the closet start of last year, and was in a similar situation. Not knowing anybody it was difficult to get out there and have any experiences. I started going on the less seedy dating apps like tinder. I think guys tend to put in a little more effort to get to know you on the dating apps because when you use something like grindr 90% of the crowd are just looking for no strings attached sex (sometimes even if their profile says otherwise). With that said i have made friends on grindr and jack'd because i was open and prefaced the conversation with my intentions. Guys who don't actually want to create friendships will drop off after a few days of only online chatting with no face to face. Usually if the conversation flows naturally im happy to meet them after a week or two, assuming you've had no red flags or feel uncomfortable about them.
I was lucky enough to make a good friend at the gym and him and his boyfriend showed me the ropes and introduced me to some nice friends and helped introduce me to the scene. I'm not deep in the scene and will never be, but i've had a good taste of what its like and know its not for me. With that said i've made some great friends which i will continue keeping in contact with even after i stop partying and settle down with a boyfriend.
My advise is to just meet people, make friends who may or may not be in the scene. Use the apps if thats what you need, once you have enough friends you'll have a network and know at least a few people who will help introduce you to the scene and show you the ropes of saunas and spas if that's whats you want.