Different positions!

So my husband and I have never tried anal, we have just now decided we would like to explore the option but every time he has even put a finger up there it burns, I can never truly be that relaxed because part of me is only doing it because he wants to try it! I'm scared it will hurt me to bad and I'll never want to do it again and he will love it! I just would like some real tips on what I can do? Should we work up to him with plugs or something? ???