'Dive head first (into something)' is a fixed expression. It literally means to jump into water so that your head enters the water before the rest of your body. Figuratively, it means to begin something enthusiastically and without giving it a lot of thought. 'Dive MY head first' isn't an expression and isn't really correct. You just dive. You don't dive your head.

The phrase 'dive in head first' is a standard way of speaking that means to get involved with something without preparation or planning.