As a newbie myself I would suggest relax, play around back there first with a finger getting used to the sensation. When you feel comfortable with that, insert a finger always with plenty of lube, I finally bought anal lube because now I'm using glass. Feeling comfortable with my finger and wanting to try toys I researched on EF and Sexis and found an anal douche helps relieve some of that worry of a mess afterwards also making myself and my partner more comfortable with the idea. The douche bags and bulbs with attachments are sold here on EF and in local drug stores and are simple to use my partner and I treat each other to this quite frequently, another nice way to be intimate.
My first official anal plug was the Silicone Meteorite and while long it was thin and worked well with my regular water based lube. Always start with a small toy for your first one, there are plenty out here on EF to choose from. Today I graduated from the small glass Sexy Spades to the medium sized one. I'm so comfortable with it now the small ones just doesn't stay inserted long enough when I'm on my back.
Most of all, have fun!