Start out by exploring it in your own fun time.
Then when you start with a partner it is important to start with some one that will be very patient and very in tune with you and your body. Relax, take your time, and make sure you are very turned on before you even start going in that direction. Then once you do start in that direction start be patient start slow and work your up. Oral, then oral on the clit and a finger in the ass, taking your time with each step. Then once you both used to the finger and super turned on go ahead and while using plently of lube have your partner try to very slowly and gently slide his cock into your ass. I am not sure that position is important as that probably depends your personal preference, but the most important thing is for him to have a good partnership with you and feel and listen to your needs and then go from there. Once it is in you may want to just let it be there for a while with out moving at all. Then start with small, slow, gentle thrusts until you get used to the feeling. After a while you will probably be ready for a little bit more. By the time it over you should both have one hell of an orgasm.
I would definitely pick some one that you know well and are very comfortable with for your first time. It makes me sad to say that since I have not been with you yet.
Also, some suggested anal-ese or whatever it is called. I don't think that is a good idea to do something that dulls your senses. One you want to make sure you can feel what is going on to prevent any kind of damage to your self. Anal sex should be safe and enjoyable to both parties. If you are relaxed, turned on, well lubed, and take your time then you should not need to dull your senses. If for some reason you are too tense and not really ready for it but do something to dull your senses I would imagine that is when you end up not feeling well afterwards.
All that said the best piece of advice I can give you would be to get your hands on this porn made in about 1999 or something like that by this sexalogist lady named Tristan Taormino. It is called "The Ultimate Guide to Anal Sex for Women". It is educational, but it is also pretty hot. Her goal was to educate women that 1) anal sex can be very pleasurable for women and 2) how to go about it to ensure that is the case. She is not some old shrew either. She is pretty hot and even performs in the last scene of the movie along with a bunch of other adult starts from that time. She has a website called puckerup.com