Personally, I love using my glass dildos anally, straight from the box (well, storage pouch). I just love the tingle I get as it slides in and the sort of 'shock' value is what gives me a buzz, although I've not cooled it lower than ambient temperature yet, but I'm almost disappointed when it warms up!
Just goes to show, it's horses for courses, but I hope you have loads of fun together, whatever you try.