  The small-world transition is a first-order transition at zero density $p$ of
shortcuts, whereby the normalized shortest-path distance undergoes a
discontinuity in the thermodynamic limit. On finite systems the apparent
transition is shifted by $\Delta p \sim L^{-d}$. Equivalently a ``persistence
size'' $L^* \sim p^{-1/d}$ can be defined in connection with finite-size
effects. Assuming $L^* \sim p^{-\tau}$, simple rescaling arguments imply that
$\tau=1/d$. We confirm this result by extensive numerical simulation in one to
four dimensions, and argue that $\tau=1/d$ implies that this transition is
first-order.
