This depends on the partner a bit... with a partner who likes to rim sometimes we'll just jump right to that, and then straight into anal from there.
With a partner who doesn't like to rim (and rimming's not the kind of thing I'm going to try to convince someone to try if they're not into it) then usually vaginal sex is the warmup. Some positions really make me crave a cock in my ass (like knees over shoulders, for one). These serve as good warmup for DP, or for plain anal.
Anal's always the finisher for hygiene purposes, though.