A single well lubricated finger is the place to start - before going on to toys, I'd recommend working to 2 fingers - it will not be as easy as it sounds.
Then we went for small diameter 3/4-1" plastic vibrators. They are cheap, easy to clean and smooth. Because I wanted to get into pegging, we needed a way to stretch me a little - that's where tapered toys like silicone butt plugs come into play. We bought a 1.25" one - but didn't stay there long before getting a 1.5" with vibrator.
Once I was comfortable with the 1.5" butt plug, then we could use a variety of our dildos for anal penetration.
I should be up front and say that I enjoy the pressure and sensations of anal play - but really don't get any specific p-spot pleasure. The idea of p-spot stimulation was more a way to ease my wife's fear of the homosexual overtones of male anal play. That same fear made pegging an even bigger stretch for her - but we eventually got there.
Good luck - go slow and reapply lube more often than you think is necessary!