I would definitely start with a finger.
PLEASE do not start with a penis, first off it most likely won't even go in unless he's using a lot of force and then if it does go in it will hurt worse than anything you have had sexually. Trust me on this- I had had a finger up there plenty of times and even small toys but when my partner was using force and finally got in, I felt like I was literally going to be sick. I had to had to lay on the bed for a while before I could even make myself stand up.
Even after you're getting used to anal I would advise fingers/ toys as foreplay before anal sex. Go slow and use lube. Yes it will hurt at first, for me it was a lot worse than losing my virginity, but it will get better with time if you don't rush things. Now I really enjoy being fingered and although I'm not too too joyful for anal right now I plan to be in the future.
Good luck and don't let anyone pressure you into something you're not read for yet!