Generally I start off by making sure things are clean and helping them along if necessary, then put in a plug for a while to get ready. From there it depends if I'm going plug, dildo, probe or prostate toy. For deeper penetration I do work up with a longer, thinner toy to get things lined up, then go for whatever.
After some proper cleaning, I work some lube in with my fingers followed by a lube shooter to make sure there is plenty of lube inside. Most of my toys need little warm up beyond fingers so I just jump right in, although if I have more time (most of the time I don't) I may start out with a plug. For the times I am going for the larger toys from my toy box, I start the same and work up in steps. I find that after the 1 1/2" dia. mark, my Big Boy will work perfectly for getting up to the 2" dia. Eleven.