1st - always use plenty of your favorite lube - and reapply as necessary.
2nd - start with smaller toys until you more excited - then go larger
3rd - don't go too deep to begin with. the vagina will expand as you become more aroused
Glass and steel are great because they are smooth and provide smooth entry - but they are rigid and can feel bigger than they are. Vixskin and O2 are great for their soft skin-like feel which can help prevent bruising the cervix.
Most all all be patient - take your time and enjoy the journey.
For me, I notice that when I use a bigger toy, I can't just insert it straight away, like Gunsmoke mentioned. I'll work on inserting part of the head a bit, and then removing it several times before I'm ready to insert the whole thing. You may even find that you need to add more lube than normal during use as well, so pay attention to any friction you're feeling that gets to be too much.
I agree too - be patient. Take your time and enjoy it, because it's all part of the fun! Those delicious teasing moments at the beginning can really add to the over all experience.