In reply to AnthonyL92:
Presumably you are looking at sport climbing rather than trad? In which case, there are some sport climbing areas in the Gower.
However form my memory of the guidebook the grades tend to start around 5, and if you've not lead outside before a 5 will feel very hard.
When you say "Neither of us have lead before" does this include leading indoors?
I would want to be quite comfortable leading, and lead belaying indoors before even thinking about lead climbing outdoors.
There are also a number of skills that are very important to sport climbing outdoors that you will not learn from indoor leading. (Stripping the anchors probably being the main one) This stuff can be quite dangerous if not done properly and while you can read up on it online/watch video tutorials its no substitute for being taught by someone who actually knows what they are doing. A outdoor leading course, as suggested would probably be very sensible.