You should definitely start out 'practicing' by yourself first with something small. Then you can slowly work your way up to bigger and better things at your own pace until you feel like you are ready for the real thing.
When you think you are ready to try it with a partner you need to be the one that is controlling the action. The key is to be relaxed as possible( a few drinks, a few orgasms, whatever helps you relax), use lots of lube, and take it very, very slowly. It takes a little time for the muscles to relax. If you go too fast the muscles contract and it will hurt.
You might want to experiment with different positions. What worked for me was the spooning position. It's easy to relax in this position and you can start off with him just teasing and rubbing it on you until you are worked up enough to really want it. Then when you feel like you have to have it you can reach behind you and slowly guide it in. Your partner just needs to be still and let you push up against him and take it in at your own speed until you are comfortable. It might take a few tries but once you get the hang of it there is nothing quite like it!
Oh, and if you are into porn watching some good anal scenes can certainly help get you in the mood.
Ok, I'm done, where is that vibrator?