It's safe, we have KY Warming and have used it anally before.I'd test with just a bit first because warming gel can feel like it's burning. We're not a fan of the warming gel, but the cooling works great.
I don't get so much a warming sensation as a slight burning one that only lasts briefly. I quite enjoy it personally, disappointing when it fizzles out. I've never really experienced warming with any lubes inside.