I have some tips to add to the great advice you have already received (with the exception of the recommendation for desensitizing cream- as others have warned, do not use that. You want to feel sensations in order to feel the pleasure that can lead to an orgasm, and also to feel the discomfort that means you are doing something wrong or impatiently and should stop before you injure yourself).
Step 1: Hygiene- thorough, proper and safe. Take a warm shower. This will help you relax. Wash your butt with unscented Dr. Bronner's soap because it does not irritate the sensitive skin in that area like other body washes with harsh chemicals do. The washing should relax your anus enough for you to slide a soapy finger in there. If you feel a turd inside, you are not ready to engage in anal play until you take a dump or a series of enemas until clean. If the coast is clear when you insert your finger, you are good to go. If there is nothing but a speck or two of leftover debris on your finger, wash your finger and re-insert it once or twice more until it is clean when you remove it. Then you are good to go.
As for enemas, a series of enemas will help make sure you are clean, if you have not already had a bowel movement that day. However, the enemas should be done quite a bit earlier in the day than anal play in order to ensure that your butt will not spill any leftover water when you try to play with toys or have sex. In terms of a schedule, if you engage in anal at night, then enemas before dinner time would be ideal. Contrary to what you may read elsewhere, plain tap water is all that is necessary for enemas. Soap is unnecessary. Salt is typically unnecessary unless you have some sort of electrolyte disorder. This forum contains a lot more useful info on enemas and I suggest you read as much as you can. If you want to use a shower shot type system where a compatible enema nozzle connects to a shower hose for a hand held shower head, use very low water pressure and do not try to fill yourself up because that kind of pressure is bad for your insides. You can find quality shower nozzles here http://www.thechaingang.com/adult-adventure/female-body-jewelry/toys/the-torpedo-anal-douche.html . A shower shot is good to use just a little bit of water, enough to induce a bowel movement to clear the way for a conventional enema from a bag or bucket.
Here is some safe, quality enema equipment (I am not affiliated with any stores I recommend on zity. I am just making suggestions):
Glass (other materials available on same site) 2 quart enema bucket:
Silver bullet aluminum enema nozzle:
A good idea when you take a shower is to shave the anal area if you have not already done so or been waxed. At any rate, the absence of hair on the crack makes anal play and life in general far more comfortable. Many people disagree with anal shaving and believe it causes irritation, but I guarantee this is only because they do not follow the proper steps in this delicate procedure. Here is a guide to anal shaving that I posted here a while back- post #30:
Step 2: Another tip for beforehand- kegels. Sit down and do 30 or 40 kegels at some point before you even get up and go to the bedroom to commence play. The kegels will promote circulation and a better sense of coordination with your muscles that will help you be able to relax at will. There is a mistake that most people make with kegels, however. They clench, but they do not unclench/reverse kegel between each clench/kegel. The unclenching/reverse kegeling is crucial for being able to relax. Those who clench and never unclench, in between clenches, tend to develop tension in their pelvic region that inhibits arousal as well as the relaxation that allows comfortable and pleasurable insertions.
Step 3: Warm-up. You said you usually start with a lubed finger. Using lube is a must, and starting with a finger wise. Of course, there is a way to make the insertion of a lubed finger much easier. The solution I have discovered is to always begin anal stimulation by sensually massaging the OUTSIDE of the anal area with lube. (By the way, I have come to prefer organic massage oils rather than lube. But as others have said, water based lube is not a bad choice. Never use silicone lube with a silicone toy because it melts the silicone.) Anyway, after massaging just the outside of the anal area with your lubed fingers, you will sooner or later feel yourself relax and your anal muscles will unclench. If you continue this massage long enough and relax enough, your hole will open up somewhat and you can effortlessly slide your finger in. Then you can practice inserting and removing the finger, and repeat the outer anal massage from the beginning whenever you tense up again. Re-lube as needed.
Step 4: Insertion. After doing this for several minutes, you are ready to insert a plug/dildo of moderate size- 1.5" diameter (width) at the most for a beginner. You want to gently push with your anal muscles just a bit, the same as when you allow something to exit. It may be counter intuitive to perform a similar action when inserting something as letting it go out, but this is how you allow your hole to open and allow an object to pass through, whether it is going in or out. Some people think that if a toy or penis is uncomfortable to insert, you need to practice with it until it does not hurt. This is false. The truth is that you need to practice on a regular basis and during foreplay with a lubed finger or plug that you can comfortably accommodate, until the larger toy or penis becomes comfortable as well.
Anal training, like any physical training, is temporary and incremental. You may use gradually larger toys until you work your way up to being able to comfortably insert something very large, such as a 2.5" diameter object. But this progress soon resets itself. You might accomplish such an insertion with no difficulty one night, but if you then quit training for a few weeks, you will not be able to get it in and you will have to patiently start your training over again if you wish to get back to that level of flexibility. Just because you have taken something large in the past, does not mean you are ready to take it again until you train your way up to it again.
Step 5: Orgasm. Anal sex, like any form of sex, can be pleasurable for both the giver and receiver as long as there is proper communication. Get your partner to understand that if he does things right, you will experience as much pleasure from this as he will. A lot of people, both males and females, mistakenly think that since anal sex does not involve the vagina, it revolves around the man because it revolves only around his genitals and not the woman's. This is false. Although a woman of course experiences pleasure from vaginal penetration under the right circumstances, the source of this vaginal pleasure is not from the vagina itself but from stimulation of the internal region of the clitoris through the vaginal wall. This internal region of the clitoris, the corpus cavernosum and the crura (google it), can often be stimulated just as effectively through anal penetration as through vaginal penetration, under the right circumstances. You just need to be sufficiently aroused first. I am sure you know how to get aroused so I will not bother to give you a step by step on that. Keep in mind that many people report far more pleasure from anal stimulation/insertion/penetration directly after they have already had an orgasm through some other means.
Recently, I wrote a comment with advice on practicing to achieve an orgasm from anal stimulation. You will see that the process applies to both males and females: http://www.zity.biz/index.php?mx=forum;ox=display;msg=679711
I have also posted my thoughts on choosing a butt plug, sharing some options that can be found on the internet. You will want to try different shapes, sizes and materials. http://www.zity.biz/index.php?mx=forum;ox=display;msg=678241
For long term butt plug wear, such as going out while plugged, you will want a plug with a fairly narrow neck so your sphincter muscles will be able to naturally clamp down on it and hold it in place so it does not fall out as you walk around. A plug with a wide neck, such as more than an inch in diameter, can be fun for dilation practice during shorter training sessions, but you do not want to be that dilated all day long over the long term. As you can see, different types of plugs have different uses.
And if you use a dildo anally, it should have a base on the outer end, like a butt plug has. The base stays outside your body and keeps the toy from disappearing all the way inside you. Never insert anything that can slip all the way inside, because it can be difficult to remove something after your butt swallows it up with its natural suction that makes anal sex feel so good.
Here is a really good book
Anal Pleasure and Health by Jack Morin