Start simple the first few times, and don't make annal sex your goal (this way there is no pressure and it takes the tension/nerves out of the situation).
Use a lot of lubrication (I personally like liquid KY), and just have him use a finger, VERY VERY slowly. Have him lightly push his finger - at first he will feel resistance, but then your body relaxes a bit and it will allow him to push it in. Repeat this and just have him go very slowly, and make sure he knows when you ask him to stop that he will. Just getting used to having anything in there is a good starting point.
Tip: Do not just have him pull his finger out! Have him very slowly pull it out.
After you've played around with this and feel comfortable is when you can move on ahead. Lots of lubrication. Honestly, I think the key is just communication. He needs to know that he needs to start gently and go slow. I also know I personally do not like to have my partner thrust hard (as in, I don't like him to come too far out when he is thrusting).
Go slow and communicate and you'll be fine