Anal sex?..

I need some kind of advice. 
my SO has been bothering me for the longest time about having anal sex. I've honestly thought about it, he has stuck his finger in my bum quite a few times during sex or foreplay and I do enjoy it a lot more than I thought it would but I feel like having his penis in there is far different than having his finger in there and it scares me a little bit. I understand that there is some kind of preparation that is necessary for all this, but can anyone that's actually experienced anal sex give me so tips or directions on what is the best and least painful way to actually enjoy having anal sex. 
please give me your best honest advice, I'm actually going to take everything you all say into careful consideration.