I never thought about saving the first egg... I would think that blowing it would be your best option so it doesn't go bad and get stinky... make sure to paint the date on it as well!!!
Crazy4Daisy - I dreamt that mine laid their first egg last night too!!!
Mine are only about 11 weeks old right now, so I have plenty of time to wait, but I'm getting anxious!
I have plenty to keep me busy in the meantime - I have learned to quilt, and have several Christmas presents to start...