Abaya - what position(s) were you in when doing anal? Perhaps you need to find the position that is the most pleasurable. For me, that's on my knees - ass up, head down. What about clitoral stimulation? That really helps to "loosen" you up. And tell him not to pull out so far as to make his head bump you where you don't want it to. It may take a bit of practice before he can go
all the way in as well.
Oh, practice on yourself with your bigger dildos when you can. That will keep you nice and stretched out just enough so that when he enters you, it will be more comfortable (hopefully!). And besides that, it's fun.