I travel a good bit and find myself as a first-timer in lots of clubs around the country. I often get asked that question, and though you don't want to come off as a complete newbie, if you lie and say you've been there before, it's hard to carry on a conversation through the follow-up questions the dancer is likely to ask.
I always answer truthfully and say, "No, it's my first time here -- but definitely not my first visit to a strip club." The next question I get is usually, "How did you hear about us?" The answer is never TUSCL (lol); I usually say a friend recommended it or I found it on the internet, which seems to satisfy them.
After establishing that this is not my first SC rodeo but my first time in this club, I often ask "How do dances work here?" which generally leads to a pretty standard recitation of what the options are, i.e., prices for topless, nude, floor dance, lap dance room, VIP, etc. (though not necessarily a discussion of her full menu right off the bat).
I usually pose the general question about dances to the first three dancers I meet, even if they're not my type, as a way to get a good read on the accuracy of the info and to see if I'm getting played by any of them. If I tell them I've been to more than 100 strips clubs, I think they know better than to try to snow me.