The best way to start anal would be to use a finger and lots of lube. I say this because since the butt is so tight it will hurt if you start with anything else. There is anal dildos that you can use and they are really thin and round. They do not hurt and they feel wonderful. I use it for more than anal because it just works. There are also beginner plugs and I will put them below also.
If you just want to jump into a toy go for it. I would get some kind of anal ease. I personally use
Tushy Tamer Desensitizing Cream. It helps numb the ass so you cannot feel any pain or stretching. It makes it feel more pleasurable to the point you can enjoy it. You can use Tushy tamer pretty much with anything. I normally apply it to my finger and rub it on the outside and reach as far as I can so that it doesn't hurt.
The lube that I normally use and goes great with the tushy tamer is the anal lube pictured below. It is a great lube because it does not dry out and it creates plenty of lube you do not have to use a lot because it will end up being to much and end up a mess. There is all kinds of other lubes you can use but these are the two that I found was best. Anal Lube