So, hold on tight. The anus is less elastic than the vagina, so ask your partner to be gentle. Make sure objects are inserted slowly, the person receiving is relaxed, and use a lube. Lube is especially important since the anus is not self-lubricating. Since moving objects from one person's anus to another's vagina or anus can cause infections, wash the penis, finger, or object first before inserting.
Men inserting their penis into someone's anus can use a condom with extra lube.
Rimming, or using your tongue to stimulate another's anus, is made safer by using a dam or an opened-up rectangular piece of nonlubed condom, kissing and licking through the thin latex. Some people have said that they like having something in their anus during sex, with no pressure or movement, just presence. Whatever you like, have fun and be safe.