Proper preparation should result in no pain, no damage and no problems in most people. People who have had severe anal fissures in the past or had a 4th degree tear during childbirth may want to be careful and of course, stop if it hurts. Anyone should stop immediately if it hurts.
I have noticed no problems at all. My Man and I took a month to train me and we are always careful, use good high quality lube, take our time and always made sure I have an orgasm before anal intercourse. If I don't feel "right" physically or mentally about it that time, we'll just skip it. Anal play actually sometimes helps me come. But, if we're going for the whole enchilada, I have to have at least one orgasm first to relax. Yes, that air needs to come out afterward, but it's more comic relief than anything else.
If it hurts STOP, retrain and try different positions, different preparations and different lubes. Numbing lubes can actually cause damage, because you could be hurt and not realize it.
So many people wouldn't be enjoying it regularly if it was dangerous if done right. We're not all walking around with damaged anuses and fissures, so many of us are doing it "right" and not being damaged in the least.