Go super slow. Like, teasing to the point where you're begging for it. Start with a lot of teasing around the area without any penetration, just fingers and tongue and maybe a vibrating toy, just massaging from the outside. At some point you (hopefully? probably?) will want your partner to just penetrate you already, dammit! But, they won't. They will make you wait MORE, until you think you might seriously die if you don't have it right now. Finally at that point you can start slow with some penetration, maybe using fingers or small toy to start with. And like Skitlz said, lots of lube.

If all the teasing really isn't doing it for you and you never really feel like you want to move onto penetration, don't force it. It may just be a "miss" night and that's cool. I usually love anal but there are definitely times when it just isn't going to happen and it's completely off the menu that night. Just listen to your body and try to just have fun without a goal - maybe one night all you plan to do is *just* the external teasing stuff, without going for any penetration.

Watch how your body reacts to certain kinds of stimulation. For me, it can get wayyy too intense if my man is just pounding away. We've figured out that I get way more pleasure from having him thrust very deep but very minimally, barely pulling out with each thrust. He doesn't get quite as much out of it, but it feels amazing for me so he doesn't mind at all. Try different kinds of movements and angles to see what feels best and most manageable for you - better yet, use a position that lets you be in control of those variable so you never get overwhelmed.

I agree with the lube and warm-up. Sometimes people try and stick it in full-on in the heat of the moment. But if your ass isn't warmed up to take it, it's not going to feel all that sexy! Just be patient with yourself and communicate with your partner... If you both want it, it's worth working up to. I also find that playing with myself with a butt plug before intercourse helps heaps.

you can never use too much lube

Have you played with a vibrator? Teasing around the outside, or pressing a bullet against a butt plug can be a great fun.