Either of those options can be a bit overwhelming. I won't say you shouldn't do either one, but if you do, do take some appropriate precautions.
First, let's say you want to hook up with somebody online. Spend some time drafting your on-line ad. Make it very clear about what you are, and what it is you're looking for. And in a case like this, the guy's personality will probably be a lot more important than his dick size. It might read something like this: "I'm 21, just recently become aware that I'm gay, still closeted, and still a complete virgin. I'm looking for a kind, patient guy who would like to help indoctrinate me into the world of man-on-man sex. I'm interested in trying mutual masturbation, and giving and receiving oral to start with. Public meeting beforehand a must. Safe play an absolute must. "
When you start getting offers, don't jump on the first one. Exchange a couple messages first. Thank him for responding, get a bit of a dialogue going, and see if you click. If all he can offer is "lemme know where you are so I can fuck your virgin ass", thank him for his time, and move on.
Once you decide on a guy, pick a pum/ir, centrally-located place to meet. Coffee shops are ideal. Let him know that you want to meet with him and see how you two get along in each other's presence first before deciding if you want to go to bed with him. Then, meet with him, chat, and decide if this is a guy you trust with your virginity. Do NOT bring him home from the coffeeshop. Mull it over for a day or so, and then contact him to set up a time to meet up again to actually have sex.
Safe play will probably involve condoms. You presumably have never worn one, so buy some condoms and lube, and practice putting them on (both of them). You don't want to end up spending your first time with a guy trying to figure out how to put the condom on.
If you choose to go the bathhouse route, you'll have to make some quicker decisions about whether to go things with guys, but the idea remains the same. Approach anybody who piques your interest, and tell them what you're looking for, and what you'd like to do. If they're looking for an ass to pound into the middle of next week, you're probably not the best bet - but there'll be plenty of other guys there they can hook up with, so don't feel bad about saying no. And, again, practice beforehand with the condoms. Don't let any guy pressure you into doing something you don't want to do.
And however it ends up, remember that bathhouses and internet hook-ups represent but a small portion of the gay population. Whether you had an amazing time or a horrible experience, you don't suddenly know "what gays are like". You've had minimal exposure to a tiny subset of what gays are like, so don't let the one experience color the entire group.
Lex