Q: Is it appropriate to have an all-female wedding party? If so, how would we handle the first dance?
A: Traditional etiquette rules dictate that you are supposed to have an usher for every 50 guests. But no one says that ushers have to be groomsmen (they could be guys who are not in the wedding party), nor do they have to be men (your bridesmaids might help seat guests). So I do not see why you could not have an all-female wedding party.
As for the first dance, your female attendants could simply join in with their spouses or dates, or the two of you could keep the spotlight to yourselves until the end of the song. A final option: The emcee could ask all guests to join in.