Press forward slowly and gently. You are probably going to feel some resistance at this point, and while you don't want to use force to enter, you will have to push a bit. If your partner is on top, be content to be fairly passive. Allow her to take control of the situation. If you are on top or using a position that allows you more control, it is okay to move in and out, but always be mindful of how your partner is feeling.
Communication is especially important for anal sex.
Make your desires known to your partner, no matter what they may be. If something does get stuck, don't panic. Sit down on the toilet and let your body expel the object naturally. There is no such thing as too much lube. Use one that's water-based and use it liberally for maximum comfort and pleasure.