Pegging?

Hey folks! So I have a few questions about pegging, but most of my IRL friends are dudes. 😅
My partner and I both enjoy anal play, and I realized recently--what a night!--that he enjoys receiving it as well. 
I tend to be on the receiving end of anal play, and he's always really gentle with me. However, he has been nervous about receiving it in the past - he's bisexual, but has never seen himself as anything but a top.
I used my fingers on him, very gently, but he wanted more. I didn't have lube at the time (I ran out and forgot to buy it😫). I have plenty of dildos, but aside from him occasionally blowing them while I wear them, they're all for me.
I guess my reservations in pegging him lie in the fact I obviously can't feel much through a dildo, and I'm afraid of hurting him. I will of course buy more lube, and we're really good at communication, but I was wondering if anybody on here had any tips beyond that? Thanks folks xx

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