Hey there - do not despair!!! There are others who have been in the same boat as you!
Firstly, it's great that you are exploring this avenue of play. I might throw in that since hubby has wanted it for 10 years... is he prepared to recieve too?! - just one to stir up the hornets nest there ;-)
As for your issues - there's probably quite a few simple solutions...
Firstly - plug stinging initially. I have the same plug - so know it is made out of rubber. Not that there is any issue with rubber toys, it may just be you are sensitiv to rubber and that is what the stining may be. It may also be the lube you are using doesnt agree with you. Perhaps try a silicone plug and an organic/allergy free lube. All available on here of course. You may also want to try glass, which is very skin safe, however is a very different feeling altogether as it is rigid - so has no give whatsoever.
As for the plug slipping out, this is very common so do not worry. Again it is down to a number of things. Firstly plug size and dimensions. I know this is a rather small plug so easy to get in. However remember the easier it goes in, the easier it comes out. Als, if it is slipping out after a while, it is most likely down to you relaxing enough and so it will slip out. Remember the anus and the sphincter muscles are designed to work to push things out. This is why relaxation is so key to anal play for all parties involved. Also as others had suggested, perhaps too much lube too.
If you decide to choose another plug, try search for one which has a noticeable difference between the widest part and the stem. By the stem, I mean the part that your anus will 'grip' onto, as opposed the the 'head' which sits inside you.
In terms of penetration, this is somewhere where my OH and I have struggled somewhat also. I am perfectly fine with a using a toy or fingers on myself, but as soon as she tries to use anything on me I completely close up. Basically it took a lot of time for me to completely relax with her - not that I didnt trust her, but becasue I didnt trust myself if that makes sense? It will happen, and I think yes using a dildo will help as pentration with a dildo/cock is very different stimulus to butt plugs.
If you feel rubber is ok for you then I recommend this beauty:
http://www.lovehoney.co.uk/product.cfm?p=13992
It starts of slim, so great for initial penetration and then gets to a resonable thickness. It also has a suction cup ;-)
It is also pretty realistic in terms of dimensions of a cock so will help you prepare for your husband.
Some other advice which may help to relax is to do some stretches to work your butt, thighs, hamstring and groin area. Sounds daft, but everything is connected, so by keeping everything supple and in good shape, it will work wonders for you to relax when needed.
In terms of cleanliness, some have mentioned douches which are great if use properly, and can be an amazingly intimate shared experience too. Other practices I adopt when I know I am gong to have anal play is to increase my water intake for the few days prior and adjust my diet too. Stay away from fired and fatty foods and increase the veg/salad content. Helps keeps things moving for fuller evacuations.
Most people only consider the 'giver' incleanliness situations, but believe me, it is far worse for the receiver. Firstly if there si any doubt that you may not be as clean as you like, you will never relax properly. Whats worse is you may not feel comfortable discussing it with your OH at the time and so go ahead anyway, unrelaxed and risk injury or a not so pleasant playtime. I am assuming though you two are comfortable discussin this sort of thing.
Anyway, hope this all helps - well done for asking for advice and delving into the wonderful world of anal fun!