Help! Painful penetration.

So, this is totally embarrassing and way TMI, but I need help and I'm too embarrassed to go to a sex shop. 😅
So I was a virgin until I was 21, at which point I met my current fiancé who I've been sleeping with, well, damn near since we met. 
He's amazing in bed and tries not to hurt me, but no matter what we do, the initial penetration is always excruciating. 
After things get going the pain fades away, but it's definitely taken a toll on our sex life. It turns him off to know he's hurting me, and knowing the pain to come makes me hesitant to engage in shenanigans. 
Here's the thing, I know it's me. I never used toys or fingers or anything for 21 years, so penetration was entirely foreign to me, and he's a well-endowed guy. 
I'm considering getting a toy to, er, get me used to things so I can finally get over this hurdle in our sex lives. 
So this was all just a really drawn out way of asking, what sex toy should I get to train my lady parts to be more, um, open to exploration?Â