First time sex was a Shadowhunter he had trained with. She wanted to add the infamous Jace Wayland to her notches, he wanted to get his virginity out of the way.
And oh HELL yes, he definitely had. Like he told Magnus, that was the first time he realized he might actually be BI, and not just... Alec-fixated.
I mean the list of things Jace hasn't done is VERY long still so. I think the kinkiest thing he's UP for and hasn't done is very much on the gang bang idea, just being passed around and used and petted and fucked and made a mess of by as many people as can be arranged.