exporting-a-session-from-pro-tools-first-to-pro-tools
This is all I can find, but it's a specific answer.
It's a little convoluted, but I think you could just follow the steps.
I think it's tricky to do it any official way. Word on the forum is.... PT First was a bad idea, hence why they aren't supporting it anymore.
Not being able to upgrade to Artist or Studio and bring your sessions easily isn't a win for users or Avid.
However, maybe it's worthwhile for you to open an Avid Support Case and ask them about how they can help you upgrade without losing your sessions, to ask for their official answer/method.
That URL above is a bit outdated, so I'm not sure it's the best plan, but it might work.