I'm just starting with anal play, but in my short experience, as long as he goes slow and follows what my body language and sounds are telling him, I'm okay.
We haven't had anal "sex" per se, because I am still so new to it. We started with just a finger and work and warm our way up through an assortment of toys to help my bum get accustomed to it.
1. Get into a position that's comfortable for you and that you can maintain comfortably for a while. We go with me kneeling and bent over, rear in the air... "doggie style"
2. LUBE. Lube, lube, and a lot of lube. If you're as much of a baby as I am, friction is a scary monster.
3. Unless you're into the pain (and even if you are) make sure s/he goes slowly when inserting anything. And start small! It's important that you communicate how it feels *while* it's happening. Removal of the toy should be just as slow as the penetration. Be prepared to take upwards of 8 minutes for a few inches....(or maybe I was just being a baby, lol)
4. BREATHE!! and breathe deep. Anytime it feels like the toy is stuck/ can't go any farther, you do not want to push it in against its will! This could cause some serious damage. Instead, reduce the forward momentum and breathe deeply. Taking deep breaths will help relax the muscles as well as keep you from passing out. I found that I took to hyperventalating when the pain became too much.
That's all I can think of right now. I've only participated a handful of times, so I hope this helps.
I'm definitely going to be checking back for others' advice to employ in my own anal adventures!