Hi, welcome to the forum 
Anal is alot of fun. Personally id recommend starting with butt plugs. Even if you intend to work up to a dildo or a p spot toy like the pure wand, plugs are a good place to start as they are less intense and put less strain on the sphincter muscles. They also allow you to size up in stages easily before trying other toys.
Some people also start with small p spotters like the aneros line, as these are also small. They obviously arent designed to give you the stretched, full feeling of toys like a plug though, so it depends on what your after really. There is an amazing Thread here on p spotting which has alot of good advice.
Butt plug wise, 3.5 inch in circumference is a good starting size. you can go for something smaller and inexpensive Like this, which is about the size of a finger and can be a good place to start if your still a bit nervous about the idea of inserting thing. You will probubly outgrow anything this small pretty quicky though.
Read the sizes. Insertable length and circumference both effect How intense a plug is when in.
You gan find them in this bit of the toy listing 
Make sure any toys you use for anal are anal safe and have a flared base.
Material wise, start with something silicone as the material has more give and are more forgiving for a first plug. glass and metal are also amazing materials but more intense and something its better to work up to
Googling anal training is also sensible. But when sizing up with plugs + 1inch between plug sizes is max really (i did it in half inches as it was more comfy)
Most importantly lube. Get some good quality anal lube (i like sliquid sassy personally) and lube up well before play (both the toy and yourself). The anus isnt self lubricating so dont be afraid to remove and relube a toy half way through. Wetter is definitely better with this sort of thing.
You can also insert lube with fingers before inserting a toy, (some people also recommend lube syringes for using dildos)
Go to the loo and having a wash up before you play. Some people also like to douch (i personally dont feel the need to) but don’t do this too often as it can mess with your gut flora.
When inserting a toy, its important to go slow, take it at your own pace. remember To relax and take deep breaths, especially during inserting. If you find yourself tensing up round a the toy when it in, try to breath and relax.
If it feels uncomfortable or you get butt cramp at any point, take it out. Thats your bodys way of saying its had enough.
It will feel strange at first. But this should change once you’ve used it a few times. It just takes a while to adjust to the new sensation, so stick with it and it should start to feel good instead of odd.
Hmm, hopefully that covers most things. If youve got specific questions this forum is a great place to ask (people are very helpful) and there are also some super threads if you have a dig.
Hope you have alot of fun trying something new