We enjoy anal play - both of us giving and receiving.
Our anal play began with light external stimulation (fingers and tongue) during oral; later I used a lubricated finger internally to stimulate his prostate.
If/when you decide that you enjoy anal penetration, you should take a look at the toys you already have that can safely be used (preferably also made of nonporous materials) along with a good lube.
A lot of folks recommend beginning with an anal plug. I just want to stress that inserting and wearing a plug is a completely different experience from anal penetration with movement (thrusting).
Don't get me wrong - I love my plugs. We both have plugs that we like to wear during PIV sex. I'm the one that uses one the most often (female) but sometimes he does and sometimes it's the both of us.
As you'll see repeated in thread after thread - don't be stingy with the lube!
My best advice: It's not enough to tell yourself to relax your mind and body - they can be restful while your anus is still tight and tense in anticipation of penetration, pain. No matter what you use (fingers, plug, dildo, penis, etc) make a conscious effort to relax your anal muscles. Once you feel like they're relaxed, relax some more.