Catholics-when making the sign of the cross are you suppose to go to the left or the right first?

Either way is fine. Latin Rite Catholics go left to right, Eastern Rite Catholics (and Orthodox) tend to go right to left.

I've read that Pope Innocent II explained it as right to left is done "because Christ descended from the heavens to the earth, and from the Jews (right) he passed to the Gentiles (left)." The pope goes on to say: "Others, however, make the sign of the cross from the left to the right, because from misery (left) we must cross over to glory (right), just as Christ crossed over from death to life, and from Hades to Paradise."