Don't go from zero to an inserted penis. If it is something that you want to try them make a journey of it. You need to learn to enjoy the sensations, learn to relax, and learn to trust both yourself and your partner.
If you want to try start on your own with some lube and try external stimulation - just rub around your anus, perhaps right after (or during) a shower (you don't want to be worried about it being "dirty"). Try this a few times until you enjoy the sensations (try combining it with a little genital stimulation with the other hand).
Once you're comfortable with that, slowly move to penetration with a single finger. Use gloves if you want - but make sure you use lube. After a few times, if it's still feeling good, move up to a small toy or so.
Once you're ready to bring your partner into it go back to the external stimulation and move from there.
I'm a guy, so my reasons are probably pretty meaningless to you, but a nice slick toy or finger feels really good (whether its me or my wife) - that's why I do it.