Ive tried lots of lubes, but never tried any that slightly numb. I think the best one has to be ID millenium, its not sticky or dries up quick like others Ive tried. Like everyone else says, its all down to being relaxed and in a comfortable position. I find reverse cowgirl is more comfortable than doggy when doing anal, but thats just me.
My friend swears by a glass of wine too to her her relax :)