One other tip I’ve personally found to be very helpful for many of the women whom I’ve “introduced” to anal sex: assuming no great discomfort during entry of the object/penis, let it go most or all of the way in and then stop. The receiving partner then clenches their sphincter muscle around the object/penis for three to five seconds and then relaxes. Repeat for a minute or two until comfortable. What this does is to “teach” the body that it has significant control over the degree of sensation created and helps the muscles of the sphincter to learn to relax despite being stretched by the presence of a foreign object. Combined with care, patience, and plenty of lube this nearly always helps ensure a pleasurable first few experiences rather than anxiety-driven discomfort as the body involuntarily tenses up.