I like to gallop for the first time with another, well-trained horse. Your young horse might get really excited when galloping for the first time, so if you have another horse gallop ahead it helps your horse start into the gait as well as be able to slow down and stop when the other horse does. I would make sure you have lots of room in case your horse doesn't want to stop right away. Make sure it's not too narrow so you can use bending to slow your horse down if you have too. Also up a hill is great, especially if it's so long your horse would get tired out if he decided to keep running when you want to stop.
I like to go somewhere I don't have to control the pace for the first few gallops. That way you can let your horse relax into it on a loose rein and get comfortable without you trying to slow the horse down. Most horses go really fast and uncontrolled the first few times they gallop, and sometimes they "spurt" forward within the gait for awhile before they learn to pace themselves. So be prepared for that and don't worry, it will smooth out after a few times.