The keys to a pleasurable anal play are RELAXATION, PATIENCE and of course LUBRICATION (the more - the better).
If you're intending to combine anal fun with masturbation then there's nothing better than exploring anal area with the tip of you finger, by rubbing it against the rim and afterwards slowly (VERY slowly) gliding the finger in.
In case you want to try that with your partner I would still recommend you to try it first by yourself, so, when it comes to "action" there won't be any "surprises" for you. You already know what it's like. Been there, done that.
And as both, Jimbo Jones and Essin'Em mentioned, if you do it with your partner keep saying (otherwise giving clear signs) whether you like what or not and what you like and what you don't.
If you looking forward to use anal toys, then anal beads and plugs for beginners would be the best choice for you. (and never forget about the lube)
Wish you a good time.