hmmm, excellent question, and i'm glad you're thinking of this Before getting caught up in the moment.
I did a google search and came up with allot of different sites of advice.
Most sugest always using a condom to prohibit infection of the piercings, especially during the first six months and using smaller gauge jewerly when engaging in anal play and lots and lots of lube. So, i would keep doing some research with your partner before giving it a try, you could also speak about it with the individual who is doing the piercing, i'm sure he/she would have some good advice as well.
Good luck!
Sweetpea