When you have never done anal before it can be tough! It can hurt and you could bleed. You should always use lube to so that the penis or toy or even fingers can slide in and if you are extra sensitive then use tushy tamer or anal numbing gel. This takes the pain away and can numb it until you get use to it stretching. I always tell people to start with fingers first then work their way up to the smallest toy then keep advancing whenever you are ready.
PLEASE DO NOT RUSH! Rushing could cause injury and could scare you along with could even damage your rectum. Please use toys that has handles or even suction cups to avoid it getting loss in the butt. It can get stuck and you could possibly need to go to the hospital that would be a wicked story like why are you here? I got a toy stuck in my butt hole or its lost deep inside.
Beginner toys are prefect for this since they are made smaller to help you loosen up and stretch out. Anal lube is kind of thicker and slicker and can be stickier than the other lube. It is like this to so that you do not have to keep applying and the water will just end up drying up.