What is the first place Finny wants to visit, rather than going back to class on the first day back in A Separate Peace?
The first place Finny wants to visit, rather than going to class on the first day back after his convalescence, is the gym.
As they head towards their first classes of the day, Finny impulsively stops Gene and suggests that they don't go. He promises that he "really (is) going to work," but not just yet, "not the first thing." Finny feels the need just to look around for awhile, and when Gene asks what exactly he wants to see, he inexplicably says, "Let's go to the gym."
When the two boys arrive at the gym, Finny does not stop at the Trophy Room, where Gene had thought he might want to "mull over...lost glories." Finny passes this area seemingly "without a thought," however, and instead heads straight for the locker room. There, exhausted, he sits on a bench, and, examining his surroundings, observes that it is the "same old place." He then tells Gene that he, Gene, is "going to be the big star now," and asks what sport he has finally chosen to go out for. When Gene tells Finny that he has chosen no sport at all, but is taking regular gym classes instead, Finny is aghast. Reiterating his assertion that there is, in fact, no war going on, and that the 1944 Olympics will take place as usual, Finny decides that Gene will be a participant in those Olympics, and begins to monitor his training (Chapter 8).
Unbeknownst to either of the boys on a conscious level, Finny harbors a deep bitterness about his accident, especially because his injury has rendered him unfit to participate in the war. He deals with his hurt by focusing on training Gene to excel in his place, and by denying that the war is even a reality.