Big-haired Bitch/Personality Hire
First and foremost, make sure it's something you want to do. Ideally, you should try some anal play way before the real thing. Use different things of various sizes (reasonable sizes) so you grow accustomed to being stretched that way...and so you can know whether or not it's something you enjoy.
Make sure you're clean inside and out to assure there are no mishaps. Use lots of lube. Seriously. Don't fuck that part up. Use lube, and plenty of it. Find a comfortable position that works for you. Doggy is best for first timers. Not doggy in the rough, traditional sense. But when your belly is flat on the bed (or surface of choice) and your back is arched with your ass up and legs slightly parted for easier access to both the ass and the vagina for added stimulation.
Don't rush. Take your time. RELAX. That's probably the most important thing. Nothing's getting up there if you're all tense. To make things a bit easier, have an orgasm beforehand. That'll definitely relax you. Any clitoral and/or vaginal stimulation during anal will most definitely relax you and enhance the experience altogether.
Enjoy.
"What is the quality of your intent?" - Thurgood Marshall
Everything Dani said; Plus: if your toilet times are regular, best avoid trying it around then because you will feel like you want to shit yourself, and possibly will when he pulls out. A definite worry and turn off for relaxing and enjoying. You can't enjoy anal play with a full bowel. Don't try it with anyone else before you've done yourself a few times and remember, a cock is a hell of a lot bigger than your finger, so practice with a dildo. The inside of your arse is dry. The rectum liner is very delicate and does not lubricate itself, so HEAPS of lube is the key. Get it right up there, not just a dab on your arse. It's cheap, but your bum isn't. Well worth the practice though. Enjoy.