All about anal

So i recently told my husband i will finally try anal with him for the first time. So yesterday we bought anal lube and a butt plug that vibrates. So i can get used to it and streched out before we try anything like anal sex. So we used it today it did not feel bad at all until the end of the plug and it started to burn then we stopped. But i got it all the way in with out a complaint until it burned a little. Is it because of it stretching out? I didn't think it felt bad at all until that point. And he is a big guy so i am nervous about doing it because the plug is a lot smaller than he is. Maybe some tips or anything? I feel like i am going into the right direction with it. And i am not opposed to trying it i just want to be fully ready.