The Aneros is on my partner's wish list, but I think it might be a little hard for first time users--perhaps something with a little more give and softness? I like the small Butt Buddy.
If you are finding that he is too self-conscious to jump right in to the anal play, I have found that some men respond well to starting with a small vibe--that way you can be playing with it around his cock and balls and just slide it down lower while using your hands and tongue on him. Let him pretend it was all a favorable accident, until he feels up to asking for it to happen more regularly. :)