For simple returns, usually BA.com will offer an up-sell for either direction individually, I think. So as noted above you would certainly start by requesting CW, and then after selecting flights and fares, see what the up-sell for the desired segment in First is.

But if you have a good travel agent in your repertoire, this is the kind of thing that, after I've done some research on prices of each leg in club or first on a roundtrip basis, I'd send it onto them and happily pay their booking fee. And every so often, when I do send it that way, the price they come back with is slightly better anyway, but that's usually intricacies of local taxes, etc.