So I was listening to Loveline the other week (man do I miss Adam Corolla) and their guest was the big one: Ron Jeremy. He had fascinating insights on in-and-out, but I found his schpiel on first time anal sex the most interesting. He claims many producers/directors phoned him up for porn starlets first anal scenes. It went something like this:

1) The lady should have her ass in the air. Other than the obvious reasoning, this position also allows gravity to be on the side of anal sex.
2) The gentleman should be giving it to her doggy style, while she jiggles her joy spot with a vibrator.
3) The gentleman should place two fingers in her behind (well lubed of course) slowly, gently. As this is about the width of a penis this action shall stretch the anus appropriately.
4) Then, with ass still in the air, he should move into the back-door (slowly, gently) while she continues with the vibrator.
As the technique is mastered, almost any position can be achieved with anal. It is a much better technique than biting a pillow till your jaw hurts and much more enjoyable.