I hope that I can use this advice as the basis of a blog post on bottomtalk... but here goes.
Lube: make sure that he's not sensitive to anything in the lube. Try it before hand, at least several hours beforehand, so you've got time to swap lubes if necessary and the burning feeling can fade.
Lube: make sure you get it up inside to start with. I don't know what exactly happens physiologically, but once things really get going my butt somehow seems to start to produce some sort of lubricating mucus, but until then you want to make sure that the lube doesn't get squeegeed off at the anus.
Play with your chosen dildo and harness beforehand. See how it hangs, any funny moves that will detach it, etc. I greatly prefer a toy with a curve in it, because it (a) stimulates much better and (b) seems to find its way inside much easier. That's just personal preference, though.
FOREPLAY!!! Take plenty of time with fingers, hand-held toys, tongues (kitchen plastic wrap makes a good barrier), etc. to make sure he's relaxed. Play around with his cock, too, because if he's horny it's easier and feels better. All of this foreplay doesn't excuse you from going slow at insertion, though - he's going to tighten up, especially this time because it's a new sensation.
If possible, warm up the dildo. It makes it easier to relax and accept it.
DON'T play with his dick while you're inserting! It's very hard for me not to clench my ass when someone's playing with my cock, and you don't want that when you're trying to mount him.
Push in slowly, with as many pauses as necessary, and then just wait. Kiss him, rub his body, etc. You can play with his cock a bit now.
Long and slow strokes to start - find where his magic spots are inside.
Talk to him. Tell him how sexy this is, what you like about it - remember guys often like that kind of stuff.
Positions: To start with it's definitely one of two: doggy style (make sure he's kneeling on something soft, but a bed might be too wobbly) or him-on-his-back-legs-i n-the-air/on your shoulders missionary. I've improvised a "sit sling" from time to time that helps hold the legs up without muscle strain. Try to do whatever it takes to let him relax as much as possible, because there's much more pleasure when you're relaxed.
You've settled on a dildo by now, but I strongly recommend a double. It's easier to "drive" and gives you more fun, too.
Be willing to stop when he gets worn out/sore/tired. If you do it right he'll want to come back.
