Mandy, I recommend you guys start with a small silicone dildo to get you more used to the feeling of something stuck up your ass. We had 2 small dildos, graduated in size, that were perfect for introducing us to the art of anal play.
Once we played around a lot with those, with tons of lube, it made the introduction of the penis not as scary... because it was only slightly bigger than the last dildo we had used. Does that make sense? See if you can find some high-quality sex toys (silicone, and we usually put a condom over that, for easy clean-up/disinfection) to get started with.