Anal is going to hurt, to a point. It's different, it's tighter, and those muscles aren't really ready for that motion.
Slow. Start with a finger during sex. Work it up to two fingers, and then three.
LOVE YOUR LUBE!. A silicone based lube is your friend because it's slick and long lasting.
If it makes you feel more comfortable, shower before hand. Anal has to be worked up to and most importantly, YOU MUST TRUST YOUR PARTNER. You don't want someone back there jabbing all willynilly with his wanger. Go slow, go steady, and go easy, until everything is in the right place. Then enjoy.
An anal orgasm, or a double penetration orgasm, will rock your socks.