As nearly all the toys I have for use in foreplay before anal sex are silicone, I stick to water-based lubes. I usually warm up myself or partner w/ classic KY Jelly as it's consistency makes it easier to apply/work with.
I've had success with Maximus, but my current preference is Sliquid Sassy to really lube up my partner prior to penetration (sadly not available on here). I like these two as they are gel like liquids, which work great for a lube applicator/launcher, which I haven't found any on here to link to either.
I did use some silicone based lubes with my previous partner with success; however, she was experienced and didn't need as much foreplay to be in the mood/able to accommodate me. The nice thing with these is not needing to regularly reapply lube for extended anal sex.
I would definitely recommend trying the lube on a less sensitive area first before using. I've had burning sensations with KY, but only on the occasions I pushed my limits too fast and didn't adequately work myself up to using a larger toy. So like any time you do anything anal, don't rush things and take your time to adequately warm yourself and/or your partner up.