There are many positions but I would suggest that you lie on the bed close to the edge, perpendicular to the floor, raise your legs, holding them up and let your partner penetrate your butt while standing on the floor. Also your ass should be warmed up, the Jolly Jack is good as are a number of butt plugs and dils with wide bases. Also use a vibe or his or your fingers on your clitoris prior to anal penetration. Relax. An orgasm prior to anal sex always helps.
I would forget the massage oil and use a thicker lube such as Maximus(be generous with the lube on your toy, his penis and your butt hole.
Also go slow and direct him on how you feel. Anal sex should not be painful but an area to find new sensation and satisfaction.
And never switch from anal to vaginal but from vaginal to anal is ok.