There are two variant covers of Infinity #1 where the Black Order all appear, along with Thanos, on the cover. One by Humberto Ramos (Yesteryear variant) and one by Ron Lim (Laughing Ogre/ Painted Visions variant)
Those two are the first cover appearances, as Infinity #1 was published two weeks before New Avengers #9.
That issue (Infinity #1) is also the first full appearance of all Proxima Midnight, Black Dwarf and Ebony May (Corvus Glaive had previously appeared). New Avengers #8 is a cameo appearance, as the characters appear in only a single panel each, separately and unnamed. Infinity #1 is their first appearance each named, as a group and in multiple panels.
New Avengers #9, while a beautiful cover, is only the first 'regular' cover appearance.
That OA is beautiful by the way, and still well worth the money!!