Yeah, bit of a lack of documentation on this one. I followed through an MSDN webcast doing this last year - around may - but I can't remember it's name, I'm afraid.
Not sure that you can really have a 'first' event in a given state. You merely have a number of events in a state which may (or may not) cause a state transition. I'd expect to have WebServiceInputs in EventActivities. But the example I worked with was sequential, not state.
A useful link I have in my bookmarks is:
Pretty good description. I remember that I spent ages trying to figure out why my workflow wouldn't start, only to realise that I hadn't set 'IsActivating' to true.