My advice is to BUY A HELMET ASAP. If you are new and are wondering what gear to buy first, a helmet needs to be near the top of your list. Shoes, harness, helmet, and belay device. All at once if possible.
What kind of helmet? A lot of people will tell you get anything: hard hat, bicycle helmet, whatever. That's solid, especially if you're really tight on cash. However, don't get something that's so ugly you will never want to wear it. If it's really heavy with no ventilation, you will also not want to wear it. If you can, don't pinch pennies with the helmet. Buy something you like because it should be the thing you use as much (if not more than) your shoes or harness.
My helmet is the Petzl Meteor III.
I like it because it's one of the lightest helmets on the market and it's well ventilated. It also looks pretty badass. It's so light, I usually forget I'm even wearing a helmet. In the summer heat, I'd rather have nothing else up there.
All helmets you should inspect every time you go climbing, checking for small fractures or stress lines. It is especially true in the lightweight, bicycle-style helmets like the Meteor III, which are very fragile. They are designed for a one-and-done scenario. If you take an impact, it needs to be replaced.
I can't stress the importance of a helmet enough. Just a couple weeks ago I was at Ganhyeon with about 3,000 other people (exaggeration). With that many people there is a lot of stuff going on around and above you. I was pulling a rope and was standing at the base of the crag, around many people. No one was wearing a helmet. I was hit in the shoulder by a baseball size rock that I never even saw coming. A few inches to the left and it would be game over for me because I wasn't wearing a helmet.
Last week at the Chuncheon sport crag (Euiam amjang), Andy and Brendan (from chuncheon) were climbing and Andy pulled a football-size rock off the route and fell. The rock hit Brendan's shoulder, but he managed to keep his hand on the brake, saving Andy from a potentially horrific injury. Brendan also was very lucky (he wasn't wearing a helmet, either), and ended up only with a badly bruised shoulder and arm.
CLIMBING IS INHERENTLY DANGEROUS. There are so many variables and factors that affect your safety that are impossible to be aware of. The best bet is to make yourself as safe as possible, and plan for the worst. There is really nothing you can do to prevent a rock fall. It will happen sooner or later. It might not hit you, but you never know. I was lucky, and so was Brendan. Next time I'll have my helmet on.