No my first anal experience was not painful. As a guy - I had my wife start with her fingers and work her way up. The toys are use now are larger than the average penis - but I'm not bi or gay - I just like to have my wife use the toys to enhance my orgasm.
I think the formula is the same for women - start with fingers and small toys - and work your way up to anal sex - you'll enjoy it - and it should be worth it for him because you are far more likely to want to do it more.
Use tons of lube! Enjoy!