It takes some getting use to but if I had a choice I would have anal sex ever time, the orgasms are far stronger.
Start small eg with love beads or a wand, you need to have another part of your body stimulated at the same time to help relax you. Try to not to think about it else you will tense your muscles and it will hurt.
You do need lots of lube on both partners. And how you breath is important. For full anal penetration (cock, vibe etc) the best way to do it is to be on top so you can control what is going on, tense your anal muscles and push back on to the cock, vibe, and as you relax your muscles push back a little more. Stop each time until you feel comfortable. The first time it will hurt when you push through the ring of muscle but keep tightening and relaxing your muscles until your anus gets use to it.
Remember: Keep your breathing slow and controlled
Use lots of lube
Muscle control is very important
Relax it will take time until you get use to it
Have a different part of your body stimulated at the same time
Have fun.