Leaving a band/having it break up is always difficult, but particularly so with the first one. I was given some very good advice last year (when my second one broke up), which is to develop yourself as a musician independently of whatever band you are in, and not put all your eggs in one basket. Go out and do solo stuff, work on side projects with other people, or other members of the band. That way, if it does come to the crunch you're not facing the total cessation of your life as a musician and it's less gutwrenching.

Admittedly I was given this advice by a musician who is terminally non-committal about projects.