I think gohan went ssj during the cell saga after training with his dad in that place.... time chamber or somthing.....He also went ssj2 for the first time in there....
Vegeta went ssj 1 after he saw that both trunks and goku could go ssj, this was after gokus arival, he trains in a capsule corp. ship with increased gravity(like when goku was going to namek) and when the andriods(19 and 20)show up he goes ssj to stop 'driod 19 from kicking gokus ass becuase of his heart disease. Vegeta goes ssj2 sometime arround this majin buu saga, i dont think they show when he "First goes ssj2" but he is ssj2 in the world tournament saga.