Is it possible to catch swine flu twice?

Yes, because the virus can mutate (change). If you become infected with the swine flu virus, your body produces antibodies against it, which will recognise and fight off the virus if the body ever meets it again. However, if the virus mutates, your immune system may not recognise this different strain and you may become ill again, although you may have some protection from having had a similar virus previously.

Should I have a swine flu party or try to catch swine flu now, so I will be immune to more serious strains that may emerge later?

No. Don't try to catch the virus as you may help it spread. Also, as everything about the virus is not yet known, it is too soon to assume it is only a mild infection. Catching swine flu will not necessarily protect you from strains that may emerge later (see Is it possible to catch swine flu twice?).