I've received (strap-on dildo) and given anal sex. My remarks are the same as those of others
- use a lot of thick lubricant (we tend to use vaseline since the dildo is silicone and we do not use condoms.. water-based jelly is thinner and lasts less)
- never force the penis or dildo in; instead push in, when it resists push out, push in etc. so as to gradually ease the sphincter
- try penetration with a gloved finger (yes, a rectal exam), a small butt plug before trying anything penis-size
- use (or be given) an enema (or glycerin suppository) to clear the rectum of feces, it will be both cleaner and more comfortable
- the feeling, at some point, may be like having a bowel movement, which you may find off-putting
And, indeed, it's a vicious circle: if you think it is going to be painful, you'll contract yourself and it will be painful...
My wife basically did not think it possible to receive anal sex ("IT'S SO BIG"), several failed attempts, until she had sodomized me with a thin strap-on dildo and it made her think she could do it.
Her reaction after our first time (I had very quickly reached orgasm, it was just so tight) was that it definitely did not feel bad as she had expected, instead it was "weird".
Anal sex with a dildo is more difficult because the dildo is not sensitive. With a penis one instantly feels e.g. lack of lubrication.