The answer depends on whether you want to write/say the date the American way or the British way. Most of the world seems to go day/month/year (although some reverse that and go YMD). Americans - bless their hearts - have their own unique way, putting the month first, then the day, then the year. They are also not inclined to put 'the' in when saying the day. so will say May first. Whereas we would say, 'the first of May'. If you write September 1st, then you can say September first, or September the first. If you write 1st September, you say it first of September, or 'the first of September". Whatever you do, avoid writing a date 9/1. In American, this means Sept 1st, elsewhere, it means 9th January.

Your 'may' confused me! September 1st, or May 1st? Then I realised... You should say 'do' rather than 'may'. Yes - you do need a space. The full stop/period is optional. Saying a date differs between British and American. Any of your options is OK, and would be understood. British speakers will tend to say 'the first of September' I think that Americans say 'September first'.