Time, lube and patience are the best advice you're going to get! I've been playing around with anal on and off for the last while now, and have had to work my way up to a decent size. For starters, the dildos included in this: http://www.lovehoney.co.uk/product.cfm?p=8569 are absolutely perfect, plus there's a harness if you ever want to give that a go.
The smaller dildo of the two is perfect for beginning, and you should be able to manage that no problem. Just go with plenty of lube, and take your take inserting inch by inch. If it's starting to hurt a bit, just leave the dildo where it is for half a minute or so, and you should stretch out to accomodate it. If there's some bad pain, just stop. If anal's hurting, then you're doing it wrong.
Starting off with something that's too big is the worst thing that you can do, as it's really offputting. When I convinced my partner to give anal a go, we rushed into things straight away, using my penis without much foreplay, and that has put her off trying it again. When I wanted to give it a go, we got a dildo that was far too big, and that did set me back. But after getting the Adam and Eve kit, I quickly worked up to the larger dildo (which is perfect for solo play) and am now looking into getting a bigger one.
But it's all about time and patience. And a healthy amount of lube of course. We use Maximus, and that's served us well for both anal and vaginal sex over the past year. Good luck!