A couple of additions that I would include:
Originally Posted by Hornyboy250
I prefer starting off with using my fingers, rather than a toy. It's a lot more intimate, and it gives you (the one on the giving end of the anal) much better feedback on what the bottom's butthole is doing as you play with it.
For someone just starting off with anal, use lots of lube and spend time just massaging and teasing her butthole with a finger tip, don't even try inserting the fingertip until she's sure she's ready for it. Take your time. Dont think you're going to be power fucking her butt like she's a seasoned porn star the first time you play. Personally I love spending a lot of time teasing the bottom at this point.
It seems counter intuitive, but it helps if the bottom pushes out gently with their butthole against your finger (or toy), then relax, then push gently, then relax. As they stop pushing against you and relax, their butt will tend to relax and pull you in. This also works for vaginal fisting, but that's a separate topic.
If you're using your fingers, consider using gloves. Gloves are a good idea for safer sex, but even if you use unprotected sex with your partner, gloves are worth considering. Lube lasts longer if you're wearing gloves, since the lube doesn't get soaked up into the skin of your fingers. They also cover any calluses, untrimmed fingernails or rough spots that can scrape. I prefer nitrile gloves over latex, because of the risk of developing latex allergies.
Butt play is wonderful, if you're both into it. If she finds out she's not into it, respect her wishes and find something else to experiment with.