If you're really into going the anal route, and I say this with seriousness.....start by playing with your own ass. Find out what feels good and what doesn't. I don't mean go start shoving cucumbers up your butt, but while showering when you're sure you're clean explore a bit with some lube and your fingers. If you're adventurous and open minded, you may even find that over time a very small toy can be pretty amazing. Once you figure out what works for you, try it with your girl, even showing her how you play with yourself if you have the balls to do it.
The anus is one of the most sensitive areas of the body and if you get yourself and your girl past the taboo of ass play, it can be incredibly pleasurable for both of you.
Just remember, too much lube is just about enough and take it easy and slooooooooooow. Very few people I know enjoyed getting ass fucked the first few times because it can be a very strange and almost unpleasant sensation and make you think you need to take a dump. It may be a good idea the first couple of times you actually try penetration is to go very slow and don't even thrust, let her get used to the feeling. If you do decide to get active, go slow and I mean slow.......if you're experienced getting ass fucked like crazy can be super hot, but if you're not experienced it's about as bad as it gets. It takes time to adjust but when you do the pleasure associated with both giving and receiving can be awesome!
Some of the worst stories I've heard are from women who talk about the incredible pain when a well meaning but clueless boyfriend or partner thought all ya had to do was shove a hard cock up their ass.