There's a really splendid piece by Simon Price at The Quietus which considers Rocky Horror in the round. I'm not totally convinced - I think it's as much 'exotic package holiday in other people's identity' as 'first swim' - but Price's case is strong nevertheless:
Rocky Horror indubitably provides a 'safe space', an adult creche where transgressive behaviour and cross-dressing are accepted, nay, encouraged. Rocky Horror is a set of stabilisers on your sex bike, a pair of water wings for your first swim in the sea of depravity. But is that such a terrible thing?