What everyone else said is pretty much all i was going to say.
Before my OH left for a 10week course we started anal play. Theres no way in hell id let him try slide up there straight away because he's rather large and that just wasnt happening.
I brought the doc johnsons anal beginners kit (i dont know how to put a thread thingy on here sorry) it comes with a small medium and large butt plug and then a large vibrator, and also some anal lube which i think is really good. You could start off with any kit or just a smallish plug if you want to save on pennies.
I brought an anal douche (again sorry dont know how to put the thread on here but its on this site under douches) which i used a good few hours before hand. was really easy to use and made me feel alot more confident playing with the toys with my OH.
Even with the small and medium plug the sensation to me was really strange and had to stop and carry on with foreplay or sex then carry on a few minutes later to get used to it. Since he's been away i've still been using them and starting to really enjoy it (he's enjoying the clips i send him showing how much i can take now) I feel like i graduated cos i can now use all the plugs and the vibrator and just purchased a dildo for anal play.
If your worried about mess/smell then id definately say get a douche and clean out before hand but if your on your own or he's not too bothered i wouldnt worry. Just take it really slowly and at a pace your comfortable with playing with toys first to get you accostumed to it. Whatever makes you comfortable.
Have fun :)