I love anal sex. As long as there is enough warm up play with lots and lots, and LOTS of lube, it does not hurt me at all. It feels incredible. I insist on it being a regular part of our sex life.
Are you doing it wrong? - Could be. Are you using a ton of lube? Making sure that it gets inside as well as on whatever is being inserted helps immensely.
Are you sure you are ready before you begin? - Starting with something small and working your way up to your partner is a must for some. If you are just going full-on anal, this can be the causing some of your pain and not allowing your sphincter to relax, can cause pain in and of itself. If you associate anal sex with pain, you might be clenching your sphincter upon penetration. Relaxation is KEY!
Going slow is SO important! There are sometimes I need my husband to just be perfectly still (NO THRUSTING) and let me ease my way on to him. It can take 10 minutes sometimes, before I am relaxed enough to let him do whatever he wants to do. It just depends on the day and how I am feeling at the time.
Anal training - from something as small as a fingertip to something as large as a penis - can take a long time! For some, months. Just remember to use a ton of lube, go slow and RELAX. If you are in pain, STOP and back off. It should not hurt.
It also helps to have some sort of clitoral stimulation while anal penetration is happening. Hope this helps.