It's almost correct, but a more natural way to say it is: * "This is my first time going to Beijing."
Or * "It is my first time going to Beijing." Using "to go" in that context sounds a bit awkward. Let me know if you need more examples!

It's not technically wrong, but it's also not efficient. Consider these alternatives: This is my first time in Beiiing. (If you're there already) It will be my first time going to Beijing. (If you're not there yet)