Anal Fingering Advice

Ok, so I'm super nervous and a little embarrassed. I was on the phone w my SO and he asked if he could ever, while doing doggy style, stick a finger inside my anus. I'm new to the whole sex game and never done anal activities. 
Has anyone else ever done this? Does it feel good? Should I give it a shot? I need some advice ladies. Thank you in advanced! 

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