Lube up my Pure plug and stick it in.

I lube it up a little, then I rub my finger in a circular motion around the hole. Then stick in a finger or two, then move on to my toys from there.
Oh and deep breaths of course :]

When people talk about "relaxing" the ass, it's a slightly misleading term, since most of us don't walk around constantly clenching our ass tightly shut.

What's actually meant is that you should gently push out with the muscle, as though you were going to the toilet, as this makes insertion easier.

Keep doing this, use lots of lube, and you'll be fine.

There's usually some level of contraction in at least one of the anal sphincters, and unless you've trained yourself there will generally be more as soon as the anus is touched.

Incendaire's points are good, but I would add some foreplay, both anal and genital - but stop all genital foreplay when you're going to penetrate, since the anus will tend to contract when the genitals are stimulated. Gently rub around the anus with lubricant and massage it and "introduce" it to the sensations of touch and penetration, then slowly move in with the bigger stuff.

I usually just breathe easy and try not to clench. Its more about not clenching, not relaxing per say.

Pushing out slightly like you're having a bowel movement helps open and relax the sphincter.

Some good suggestions here. I'll just add that a nice hot shower/bath before does wonders for me. All but one of my big toys was conquered in the tub after a good soak.

Using a pillow or laying on your side may help.