Many silicone lubes are thin, which can make them more difficult to use for anal activities. A heavy water-based lube works well, too. Whatever lube you use try it out first to make sure you don't have any reactions to it.
Make sure that the lube you use is used liberally and that you work some inside your (or your partner's, depending on what you're doing) anus and on the toy/finger/penis/whate ver.
Silicone toys are great for anal play because they don't leach anything and they're easy to keep sanitary.
Go slow. Plan for at least a month of anal play (slowly increasing the size of what you're playing with) before trying anal intercourse.
Make sure you can be completely relaxed when you play. Agree that either partner can stop or pause the play. If you're concerned about mess then check yourself out first in the bathroom with a finger, dildo or other anal toy. If you're still concerned you can use a small water enema or glycerin suppository. Find a comfortable position to play in.
Use a condom for penis-anal sex. Semen in the rectum can get messy, and your partner can get a UTI.