Obviously the first piece of advice is to use plenty of lubricant and take it slowly initially. You might try wearing a butt plug for a while before you start too.
As regards positions it depends what you want from it.
For your first time you could get your wife to lie on her back then you can straddle her and lower yourself down onto the dildo cowboy style. This would allow you to control the speed and depth of penetration. It also allows for deeper penetration than most other positions.
If you want your wife to be in control then you could try spooning with her taking you from behind.
For even more dominant pegging you could try doggy or my favourite position where she bends me over the kitchen sink or worktops and takes me from behind. In these positions you are putting yourself entirely in her hands.