Make sure there is plenty of touching outside before any penetration takes place. Ask him to pay some extra attention to the area during oral, gently sliding a finger inside. Not sure how much anal play you've done or if its all new to you.
Also, I'd suggest starting off with a slim toy. I had a very slender vibrator that I absolutely loved. It died and I haven't found a replacement
When you do go all the way, I suggest a good lube (We LOVE Maximus) and open communication. Make sure they go slowly. It might feel uncomfortable at first but it should never hurt. Don't be afraid to speak up. I have only done anal with two partners. The first I absolutely hated every time because a)I didn't speak up when I wasn't comfortable and b) even if I did speak up, he never seemed to mind. My husband now is so in tune with me and my feelings that if he senses something isn't right he stops even before I say anything.
Good luck, have fun and don't rush into anything before you are ready!