There’s lots of great advice here, especially from @jca and @MissAnthrope . They’ve pretty much said everything I was going to say, only better!
The only thing I have to add is some advice on choosing a lube and choosing toys. When I worked at the adult toy store, having anal sex for the first time was one of the #1 most common questions we got.
@TheOnlyNeffie is right about anesthetic lube being a no-go. A couple people mentioned KY, which isn’t really ideal for anal. KY has a light, watery texture and doesn’t really stay slippery long enough. It’s mostly water and glycerin, so after a little while the water goes away and you’re just left with sticky glycerin residue. The other thing is that with very tight penetration (like anal), a lube with a thicker texture can make things a little more comfortable. There are other water-based lubes that are more viscous and stay wet longer. ID Glide and Astroglide gel have a nice, thick texture but are still slippery, and they’re available in the drug store.
Anything oil-based, like vaseline, isn’t condom-safe. The chemicals in oil will dissolve latex. If you use oil on a latex toy (like a plug), it will start to dissolve that, too.
You can also get a silicone-based lube, like Wet Platinum or ID Millennium. They’re very, very slippery and stay wet pretty much forever because they’re not water-soluble, but they are safe with condoms. Silicone is hypoallergenic and very safe, but it’s better for anal than for vaginal sex. That’s because you have to wait for the body to… clear it out, or you have to wash it off. It doesn’t go away on its own. It basically feels a lot like oil, but is much safer.
Choosing a toy: If you get a plug, it’s meant to be left in so the muscles can gradually relax. One of the most popular ones we sold was a lot like this. It was very slim, but larger than a finger. You could also try a small wand-shaped vibrator or a vibrating bullet. A bullet is a very small vibrator with a remote control attached. It’s mostly used for clit stimulation, but you can also use it around the outside of the anus. If you insert it, it’s best to put it in a condom so you can remove it. Actually, it’s best to use a condom over any toy.
Just saw your second post… that’s really awesome and open minded of you. Good luck!