This might sounds silly but, I was once told by a Domme that the anus is disgned to relaxe from the inside out. So, when going from the outside in it will tend to be painful. She told me to just relaxe and don't worry, it's just mind over matter. I guess that was easy for her to say but whatever, it worked for me. Complete relaxation and plenty of lube and take your time is my advice, for what it's worth.