Had unprotected sex last night and it was the first day if my period. I should be okay right?

Possibly. Pregnancy is alway a possibility. Purchase and perform a home pregnancy test. They usually become positive when you are about a week late. If it's negative, repeat in one week and call your doctor.
Not necessarily. It is unlikely you are pregnant if you started the first day of a normal period. However, keep in mind, even if you have regular cycles, the time of ovulation can be variable. There is no perfectly safe time during your to have unprotected intercourse.