It's important to catch first, of course. But the best infielders can transfer the ball from glove to hand in one motion, then make a throw to first base. Time is of the essence, but don't rush. That's how throwing errors are made.
Depending on how much time a fielder has determines how hard to throw. The first baseman should be on the bag, ready to take the throw. Many infielders like to take what's called a “crow hop” before they throw to first. It's a timing mechanism toward making an accurate throw. The fielder takes a tiny leap in the air toward the base they're throwing to, landing on his or her back foot. He or she then pivots, pointing their front leg directly at the base they're throwing, and aims right for the midsection of the person covering first base.
There are, of course, other places to throw if there are runners on base, force plays at second, double plays, etc.
