It just sounds like the plug he ordered is far too big for a beginner!
The size of the plug makes all the difference, in terms of whether you enjoy the experience. I know a lot of people have said you need to start with something small. But these facts are always worth repeating. Perhaps if these things were repeated more, you and your boyfriend would already have known this. It's all about doing your research. You can't just grab something off ebay and be good to go, as you have both learned by now.
And of course spend plenty of time lubing up and warming up your anal area with your fingers, and make sure you get aroused in any way possible before attempting an insertion. I hear it helps a lot to stimulate your clit as you insert fingers or a plug, to learn to enjoy anal stimulation. I believe a chastity belt is a bad idea because it would prevent the direct clitoral stimulation that should accompany anal stimulation in order to lead to anal pleasure. A butt plug that fits you properly does not require a harness of any sort to hold it in, but a thong or g string may help if you ever go out walking around with a plug in.
Anal stimulation of any kind should NEVER be painful, and if it is painful then you are doing it wrong. You can find lots of helpful information in the book Anal Health and Pleasure, available here: http://www.amazon.com/Anal-Pleasure-Health-Guide-Couples/dp/0940208377/ref=pd_rhf_dp_p_img_4 . The first 100 pages or so are especially useful. At one point, for example, the author explains how to use kegel exercises to learn to control the muscles involved in properly relaxing your anal area and maintaining muscle tone/ flexibility.
One thing you need to know about starting out with smaller plugs, I have heard that certain ones are so small that they can slip all the way inside you, which should be avoided. Don't get one with the jewel on the base, since this seems to happen more often with the smaller sizes of those. Here is a link to the first plug I ever used, which I highly recommend because I have always loved it: http://www.amazon.com/Luxotiq-Anal-Plug-Stainless-Steel/dp/B007F17OG0/ref=pd_sim_hpc_21?ie=UTF8&refRID=08F945GTVJJNC6SV5T8J . I left it in all night the first time I tried it, and I often sleep with it in. It is worth it to wake up horny and have an incredible orgasm with the plug still in! Some beginners suspect that metal or glass toys are too hard to start out with compared to relatively softer materials, but as long as you choose a comfortable size for yourself, the metal plugs and glass plugs are smoother and more slippery, and easier to slide in if you ask me.
You should also check out this anal sex blog: http://analonlylifestyle.tumblr.com/archive . Many of the posts contain helpful tips, and you can learn a lot from the posts in which women share their own experiences.
If you decide to give anal play another chance now that you know how to make it a pleasant experience rather than an unpleasant one, you may want to experiment privately when you have plenty of alone time and can relax, without your boyfriend or anyone else there, at least until you get comfortable enough to share the experience.
(I am not affiliated with any of the above sites or products.)