What Tim said.
I have a few things to add, from a woman's perspective and a woman who loves receiving anal sex.
There are very thick water based lubes great for anal play and anal sex. My favorite is Sliquid H20 Ride
and an other is Sliquid Booty Formula
. Both are THICK (which you want in an anal lube) and have no glycerin, which may be bad for your vagina, if it drips down.
My Man trained me to love anal sex over a period of a few months. We started with him just petting and a little rimming (analingus, like oral sex, but near the butt. Of course, only after a very thorough bath) and then worked up to inserting a finger, well lubed. We tried some "starter" toys, but I didn't care for them back then. We went from fingers and play to straight up anal sex after a few months of learning.
I found out that I usually HAVE TO have an orgasm before anal sex. It relaxes me, and I find myself even more turned on after an orgasm or two or three. We usually have oral sex, PIV some, then more oral, then grab some toys and a wand vibrator so I can come, if we are going to have anal sex. We also found that I am much more into anal sex if I am also being penetrated vaginally, so we usually use a phallic vibrator or dildo in addition to the anal sex. A lot of woman find the familiar feeling of vaginal penetration actually makes anal penetration easier. PLUS, the vibe or dildo often will be pushed into your G Spot during anal sex, which is amazing!
Later, we found out, after learning what relaxes me, that we did like a few anal toys. I prefer teardrop or round toys, but we do have a few finger shaped plugs as well. (All good anal toys should have a large flared base for safety.) We also have a few sets of anal beads. In our house, any set of beads not silicone was thrown out, as we had some jelly beads, but they are porous and can transmit bacteria. No more jelly stuff for us anymore.
I also like to sometimes use a butt plug during PIV sex, it enhances PIV (penis in vagina) sex and feels amazing.
People always ask, "What do you get out of it?" I mean, what do you get out of any form of sex? It feels good! The anus is very sensitive and if treated nicely, stimulation and penetration of this organ can bring a lot of pleasure.
So, for us, it requires a good bath (you want to be clean, and not to be too graphic, but if you've used the toilet in the last 6 to 8 hours and DO NOT feel like you have to go, chances are you will not run into any mess. We never have.) lots of genital play, (sometimes with a butt plug, or not, depending on our mood) an orgasm or three for me, good, thick healthy lube, and relaxation, and it's fantastic!
If done properly, anal sex can put you into the stratosphere, in terms of altered states.
Take your time, STOP if it hurts, relax, breathe, have a good orgasm from oral sex or a vibrator (or both, as we do) first, relax with some PIV sex, maybe use some vaginal penetration, get comfortable and GO SLOWLY at first.
(Why do we not have a "butt" smiley?)