All great information so far.
I want to add a few things that we found helpful.
Go slowly. We worked up from light rimming and fingering the outside of the anus to one finger (with lube) to more to a penis. We had a few anal toys, but I found I enjoyed them better, personally, after we had actually had anal intercourse a few times.
I also have to have an orgasm or more than one in order to relax and also because I get so aroused, I want to have some of the tension of arousal resolved before we move on to anal sex. That way if I have an other orgasm during anal sex, it's great, but I'm not tensed up like I am before my first orgasm in every session. Anal stimulation often helps me get to my first orgasm, but actual anal-penile intercourse has to wait until after I've had a few orgasms.
I also find that vaginal penetration with a toy during anal sex is amazing. Many women are familiar with vaginal penetration and it not only makes anal sex easier for me, but makes it more fun, too. Also, there is no fear of the penis slipping out of the anus and into the vagina, if there is a toy in the vagina. PLUS, the toy will often be pushed into the G Spot making the sex even more fun!
Lube is an absolute. Vaginal lubrication is fine for vaginal sex (and we have PIV a lot before anal sex, as it just flows that way) but the natural lubrication isn't enough to protect delicate anal tissues. Spit isn't enough either. A good lube is very important. We like Sliquid H2O Ride
(They really have to start paying me) for everything, it is thick enough for anal sex and lasts a long time. It's also water based so it's less messy than other kinds of lubes after.
Take it slow, use lube, try having an orgasm first and take your time.