Anal...yea or nay?

So my bf really wants to try it but he thinks lots of lube and sticking it in is the way to go. I have also heard that you should start out with something small like a pinky finger or something else equally small. I always said that I would never do it as I have always thought of my butt as an exit only hole but I have been thinking about it ever since he brought it up. Since I am on the fence about it I thought I would ask and see if anyone had any thoughts, ideas, suggestions? Thanks.