I usually have a butt plug in place both for masturbation and PIV sex. As for anal sex with a penis, I am open if I "feel" ready. In reality, we have actual anal sex, a few times a month. I think, I actually enjoy it more then my b/f.
Every time... Mistress hasn't allowed me to orgasm without having a butt plug inserted since my training started. She insists that by being penetrated during an orgasm, I am reminded of my submissive status pretty well. That, and I've been trained into quite a butt plug lover..