The only thing more sensitive than a dick that just came is a man's ego. You have to let them down gently or what's left of his self esteem will leave with you on your way out of the door.
First dates can be seen as a test of whether or not there is any possibility two people may begin a relationship. If the date goes well and you both feel a chemistry, then future dates can help you both decide how far to take the relationship. Many times, however, a first date shows that, one or the other of the people involved is not comfortable with continuing.
Tell him in person that night as you are leaving each other, or wait until the next day and tell him on the phone. This takes more courage than telling him in email or via a text message, but is more respectful and considerate.
Explain clearly that you just are not interested in going out with him again. He may want to know reasons why. Be honest but tactful. You can say, for example, that the chemistry just was not there for you.
Thank him, using a sincere tone of voice, for the date. Tell him anything you can think of he did that you appreciated, like dinner was nice or you enjoyed the movie.
Above all just remember to let him down the way you would want to be let down.