Anal sex

Hello. Im only 20 and my bf is 27 we were together for 1 year. He wants to have anal sex with me but I always said no to him. One time I said yes but then when he tried to get in i stoped him coz I really cant afford the pain..

What to do with it? Im also curious about the feeling bcoz he said its more heaven than the normal but what should I do? It hurts.