I'm also going to pitch in that even if you don't use condoms for regular sex with your partner, it's even more highly recommended and some doctors insist that it's mandatory to use condoms for anal sex. Because your anus is not self lubricating, there's more of a likelihood that something might tear (although lube and going slow should lower this risk significantly). I especially remember the early days when my boy pulled out and I sat dazed looking at the bloody condom in awe and pain. We should have been going slower but I'm a masochist so I was kind of asking for it and while we agreed it was hot, we learned to listen to our bodies more. Apart from any bleeding though, the anus has different bacteria than the vagina and the risk of transmitting things jumps significantly. Even if you're fluid-bonded, I recommend a condom.
It is also good to note that he should not double dip. Or go between your ass and another hole. Oral to ass is fine. Pussy to ass is fine. Ass to pussy or ass to mouth is generally a bad idea. There's some argument if this is an absolute no or more of a guideline in order to avoid vaginal infections. Most of the infections you can get from it are minor and people tend to make a bigger deal out of it than I think is necessary but it's better to be smart than sorry. If he's going to go back and forth (or she for that matter), they should change condoms.
Lube. Going gently. If he's having trouble entering, it helps to push a little bit as if you were making a bowel movement, which tends to open the sphincter up and can actually make initial insertion easier. It's a little counter intuitive and it's just that little bit. Continuing to do that will let him in, but push him right back out.
Do not use numbing agents. Some people argue that it lessens the pain but the pain is your body telling you something. It's like turning off the fire alarm system because you suspect there might be a fire and you don't want that annoying noise. Listen to your body. Relax and work through it.
I know I just made it sound like a lot of pain, but it's different for everyone and it's very rewarding! I wish you luck.