Yes I would second the advice to stay away from numbing lubes: anal sex should not hurt: if it does, you need to stop and work up gradually.
KY Jelly may not be the best lube: it was formulated for medical examinations, so it's fine for inserting instruments, but it's not sex fomulated, therefore unsuitable for the cut and thrust of penetrative sex; it gets sticky and dries up too soon.
My fave is Maximus, which is nice and thick (you don't want anything too runny for anal, such as Liquid Silk) and therefore provides a good cushioning effect for delicate tissues, and greatly reduces friction, which can make you sore.
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Some people also find silicone-based lubes provide better slide and glide: just don't use it with silicone toys, as it causes a weird reaction.
I'd also recommend lots of gentle stimulation of the whole anal area before taking the penetrative plunge!
Possibly consider using a vibrator, (with lube!) just obviously make sure you have one that's designed for that purpose, so make sure it either has a nice long handle or a flared base so it won't get lost if you do use it penetratively!