Cetafil lotion is the best thing we've found for it. Lot's of lubes sting, and the sticky ones are annoying too. Any of the water/sugar based ones get sticky and usually sting.
I'd like to highly recommend dildos and toys in general for anal. For me, I'd rather work a dildo in before a finger, even. Something about it being plastic, because for me, a finger stings for some reason, but a dildo can be worked hard and fast and feels wonderful. I’m not really into butt plugs, because for me, it has to be going in and out, and butt plugs more just sit there.
A great position for this is on your hands (elbows) and knees, with your butt up in the air. You have good access to reach around and rub your clit while your partner works you from behind. (hehehe) You would not believe the orgasms you’ll get from this position and self-stimulation, simultaneously.
LPM has some great advice. Don't try anal if you are not clean inside. I honestly recommend enemas because of this reason, but if you are not used to this kind of stimulation yet, just make sure you've had a good movement first.
