Regardless of if you are doing this alone or with a partner, just start very slow, and with lots and lots of good, thick lube. It might be best to start with a finger to open you up gently, and don't be in a rush to put the plug in and hold it there. You can work up to that by using it as a dildo for your tush, just pushing it in a bit, and holding it in place till your sphincter relaxes and you can put it in a little more. Nothing say's it cannot take several hours, several days, or even a week or more to get to the point where you put it in and hold it there. Just do what feels comfortable for you. If you incorporate it with other pleasure play, then your body will associate that anal stimulation with other pleasant feelings and make it much more fun in the long run. I know that the lover who taught me anal was insistent that he either sucked on my clit or rubbed my G spot with his finger and was kissing me passionately whenever he was doing anything with my rear end, thus I was fully stimulated and would almost always have a great orgasm (from other stimulation) while he was playing with, or later inside, my anus. From that positive association I worked up to being able to have incredible orgasms from anal penetration (or even anal licking) alone. No kidding. It's a very, very, incredibly sensitive and nerve rich zone of the body. Enjoy it.