Part I: Learning the ropes
It can take quite a while to get comfortable with anal sex, especially when there have been bad experiences in the past. So, either be prepared to be patient, or don’t even attempt it.
First, trim your nails.
Spend a few sessions playing with your lover’s asshole with the clear understanding that you won’t use more than one finger until they say they’re ready. This will allow them to avoid the nervous anticipation of imminent pain, and learn to enjoy the sensation of anal penetration. Make sure, too, that it’s very clear that you want and need feedback; if you know what’s going wrong when it goes wrong, it’ll be a lot easier for you to figure out how to fix it. Communication is essential. And of course, remember to pay very close attention to nonverbal responses.
For any anal play, use lubricant. Lots of it. Do not use an oil based lubricants: they dissolve condoms, and even if neither of you has ever had another sexual partner, it’s still advisable to use a condom for anal sex. This protects both of you.
I recommend that you have your lover lie on their side for anal play, until you’re both very comfortable that you know what’s happening. This allows them to pull away if they need to — there’s a lot more control for the person being penetrated, and it’s not at all awkward for anal sex — everything lines up, and there are no legs in the way. I find that it’s easier with my legs pulled up in front of me.
Through all of this, too, if something seems to hurt them, freeze — do not remove your finger suddenly. If the problem is a gradual loss of lubrication to the point that there’s some unpleasant friction, pulling out quickly can be quite painful. It’s usually okay to keep going after unexpected pain; just give them a chance to relax and recover, with no new stimulation, then start back up slowly.
Now, how to do that one-finger playing? For starters, don’t start there. Play in a comfortable, familiar pattern first. Anal sex is much easier to relax for if you’re already turned on. When you think it feels like the timing is right, start playing with your lover’s ass and around the opening to the anus. When the response to this is increased arousal, get a bit of lubrication on your finger (it’s better to go back for more than to have a big gob, the stuff tends to be cold — if you need a lot at once, you’re going too fast) and, pulling their cheeks open with your other hand so you can see what you’re doing, put it on the outside of their anus. Press very gently, rubbing in a small circle. Press a little harder, until the tip of your finger is in. Hold still for a few seconds, then move it in a small circle. Vibrate it a little bit.
Gradually, go in deeper. Stop every so often, and move around gently. Pump in and out, again gently, and slowly at first. Stop for more lubricant if you need it. You can increase the diameter of the circles slowly; if your lover seems very tense, tell them in a soothing voice to relax (the finger should probably be still at this point). With your free hand, stroke their back and hair; kiss their thigh or hip. Gradually start the finger play again.
How long this goes on, and just how enthusiastic it gets, will depend on how much your lover enjoys it. Read their responses closely. If in doubt, ask. Hopefully, at some point either body language or verbal communication will let you know that you’re going too slowly and/or gently. Focus on your lover, and trust your instincts.
Once one finger is familiar, you can either use a slim vibrator (not necessarily turned on all the time), or two fingers next. Depending on the size of what you want to put up them, you’ll want them to be able to take at least two fingers, maybe three, comfortably before trying intercourse.
When you finally feel ready to approach intercourse, lie side by side with you behind them. Your lover’s ass should be thoroughly greased by your play; put some lube on your cock or dildo as well (don’t overdo it, or it’ll squirt around and be more difficult to control 
. Set the head of your cock or dildo at the opening to their anus, then have them push back againstyou. You’ll be braced against the pushing; let them control the speed of penetration, and freeze when they freeze. You’ll have access to lots of their body (though they may find this a distraction); if there’s pain, remind and help them to relax.
One other thought — it’s possible that part of your lover’s mind is taken with the concept of fingers in the ass; any time that part of the mind is turned off like that, it’ll get in the way. If they think that could be part of the problem, they might be more comfortable starting out with the slim vibrator or dildo, and working up to bigger ones. The smallest buttplug I’ve seen would probably not be useful to start with — it’s not what they’re designed for.
And when you’re all done, wash hands, other bodyparts, and toys carefully, with lots of hot soapy water; always keep the ass and things which have been in it away from penis, vagina or urethra. E. coli can be nasty in the wrong places. Toys, especially porous ones, are best kept separated.
Have fun!