If it is your first time anal sex, then you should never allow your partner to insert his penis during the first time.
Your anus should be sufficiently stretched to avoid pain or micro tear of your tissues. Ideally, you partner should begin by inserting his lubed finger for the first time or use a sufficiently lubed small vibrator to ensure you are comfortable and it is enjoyable to you.
You can use a dildo or a butt plug to make it convenient.
When you know that you are ready for a full penetration, then you can ask him to insert his penis. Banging on with his penis straightaway can make things painful and you will find it uncomfortable to bear the pressure.
Use a condom for protection. There are exclusive condoms for anal sex. Don't use a lambskin condom as they are not recommended for anal sex.
Remember to use lot of lubes, which is very critical for an enjoyable anal time. Don’t think saliva is enough, as shown in porn movies. Saliva may soon dry up and you will begin to feel pain.