Oil lubes can work anally provided that they are compatible with your toys. Water lubes are easier to clean up after, and are compatible with just about everything.
First of all, find a place where you can relax and don't have to worry about being interrupted, and find a position that's comfortable and doesn't require you to tense up muscles so you can relax. Lying on the bed with your legs up is a good start. It might be helpful to get a small mirror so you can just take a look at how things are arranged down there. Go to the bathroom if you need to before this.
Lube up your toy and your anus, then rub around your anus with your finger to get used to the feelings and relax. Then turn on your toy and play with it around and on your anus but not in it yet. Eventually you can start to insert the toy (wait until you enjoy the sensations, though). If you want to start out with just external stimulation for a while that's just fine - go at your own rate.