You can never use too much lube. Rinse and repeat. When it comes to what type of lube, water- and silicone- based can be pretty thin. Try and look for a very thick lubricant. Personally, I've had the best experience with the standard KY Jelly, as well as Aloe Cadabra (
link), whereas some lubes that are advertised specifically as being great for anal sex weren't enough.
Start out small -- fingers, small toys. Work up to it. Don't push yourself to do full-on penetrative anal sex if you're not ready.
Finally, experiment with positions and angles. Anal during doggystyle is great for most, but perhaps missionary or you lying flat on your stomach might be better.