anal :/

I need some advice. My fiancee really wants to try anal. I am trying to work on getting my fingers in, used lots of lube, I have ordered plugs (getting shipped to my house tomorrow)... But anytime we try I get so discouraged because I know how much he wants it but its SOOO painful to me. He is pretty big and thick so I almost feel like just knowing what is trying to enter me makes me tense up...

Long story short, we keep trying and nothing seems to work.. What helped you guys losen up or ease in to anal :/