The very first time you wont be used to it so you need to insert something really slim - no wider than your thumb. Use loads of lube too.
First time I did it was when I was 15 years old and experimenting with a plastic cosmetics tube. I got on all fours feeling very nervous but super-excited at the same time, slid it into my ass and it felt completely wonderful, like nothing I'd ever felt before!
That was some time ago - since then I've bought proper toys and graduated (slowly) to larger sized toys to give me the pleasure I want. About 2" wide is what I like now, but that's way too large unless you have previous experience.