Need experienced advice

So I'm new to the sex world, and my bf and I love messing around (bj's fingering, etc.). I want to have actual sex more often (p in v) but I feel I don't get off that way. And for some reason that really bothers me even though I know it's not uncommon. It's not that it hurts, but I don't think either of us feel as good with penetration. He's so understanding, but also doesn't ever know how to help me even though he constantly asks what he can do. Does anyone else have these same feelings? Any tips or advice to make it better or more arousing?