I am a female and I enjoy anal sex - but it hasn't always been that way. I have only done anal with two partners. The first one was my first husband. I absolutely hated it, but would do it occasionally. He wasn't attentive to my body and unless I specifically told him to stop, he would continue even if I were uncomfortable or in pain.
I really enjoy anal sex with my now husband. He takes his time and pays close attention to my body to adjust what he is doing so it is not only more comfortable, but also more pleasurable for me. When he does it right, it is amazing.
I would say start out with some play around the outside. Be sure to use a good lube. We really love Maximus - in my opinion its the best for anal play. Start off with a very slender vibrator or finger and go slow.
I wouldn't say there is a set time frame for when to move on to a bigger toy, but just take your time and be ready.
Good luck and enjoy. And by all means don't be afraid to tell your partner they have gone far enough and you don't want to continue.