Anal...

My boyfriend and I have kind of started beating around the bush about anal. He finally told me that yes he definitly wants to do it. And that's fine. One day he put his finger there and shocking it felt really good. So I'm kind of curious as to trying it with him. Any advice? People always say lubricant but that just seems weird to me. We don't use lube when using condoms because it's already wet enough there, but I know that anal is different. Is there an easier way to do it without lube?