The fear and discomfort that can come from anal sexual activity, especially with people not accustomed to it, stems from anxiety regarding the activity, personal fears and even subconscious negative thoughts about the act.
It's a good idea to avoid going straight for insertion of a finger or objects, because even though you have had anal intercourse in the past, it was in a state of intoxication (which can be dangerous).
I recommend starting with a warm bath or shower so you can start off feeling clean (and be sure to have gone to the washroom beforehand). Then try some breathing exercises. Not like childbirth class breathing, but deep, cleansing breaths. Try to make yourself aware of your anal area, and think about how it feels, and examine any thoughts that come to mind about it.
Rather than trying to insert a finger from the start, it is a good idea to simply touch the area. See how it feels to you, and try squeezing the muscles gently to experience that feeling too. When you have thoroughly explored the area, breathing deeply and evenly throughout this time, you can try lubricating the area and rubbing it with a finger. Again, don't try insertion just yet. Just enjoy this for what it is.
If you aren't feeling too nervous and you don't feel tense in your anal area, you can try relaxing the external anal sphincter by gently bearing down. Ensuring your fingernails are clipped and smooth (and possibly gloved if you wish), gently and slowly insert your pinky finger, just a short distance in. Initially press it flat to the area, and when you feel your anus open, proceed at a slight angle. You should encounter the second sphincter, which is involuntarily controlled. It will feel like a second ring just beyond, and slightly overlapping, the first.
This is just a way to warm up to anal play. If you can't get a finger in the first time, that's fine. It takes some time to work up to inserting fingers and objects. I recommend purchasing a very slim, tapered toy, a bit bigger than a finger at maximum diameter, once you are able to insert a finger. This is a progressive activity; like strength training major muscle groups, you start small and work your way up. Don't rush things, remain relaxed, and be sure to examine your own feelings about the activity as you do it.
If you have a partner you feel particularly comfortable with, incorporate him or her into the activity as well; it can be a great bonding experience.
Finally, I would like to recommend the book, "Anal Pleasure and Health", by Jack Morin. It's a great guide for people who wish to become more in touch with their anal areas (no pun intended).
I'm sorry this post was so long. I hope some of it was helpful for you!