Advice

Soo, my boyfriend and i want to try anal. I’ve tried before using like 2 fingers and it usually doesn’t hurt very much, as long as I use a lubricator. My bf wants to try it but every time I get so much as half the tip in it burns and hurts enough to make me cry, what do I do?? Am I doing something wrong? I use lube when we try anal so I know that’s not it. Any tips to make it not hurt or burn, or explanations why it does?? Help???