Hmmmmmm... will it hurt? The answer to this question would be a resounding 'yes'. That is, if it is not done right. This can actually be an enjoyable experience if you forget what you see in the porn flicks and take your time. I have a fairly extensive article that I wrote on this subject, quoted below:

There have been entire books written about this, so I'd suggest doing some research and reading. In the store, I have at least 2 that are very good in the Sex and Psychology subsection of the Books department.

I have launched into tirades about anal sex, as men seem to think the anus (in a male OR a female) can be treated just like a vagina. Same style, different hole, right? Buzz! WRONG!!!

Done wrong, this can be painful and yes, very dangerous.

First of all, throw away the Anal Eaze and forget you ever heard the name. I personally hate this stuff and think it is unsafe! Anal Eaze has a numbing agent that causes both the penis and rectum to get numb. Pain is God's way of telling us that something we are doing is bad for us, and STOP! Also, if the penis is numb, it takes more stimulation to reach orgasm, meaning more friction, longer time to orgasm, and more pain for the receiver.

Admittedly, S/M'ers do get off to a certain degree of well-placed, well-thought-out and consensual pain, but personally, I don't think this is an area that should hurt. If it hurts, you are doing it wrong.

OK, so you've thrown away the Anal Eaze and your partner has agreed to try it. Now what? Foreplay, foreplay, and when you think you've had enough, more foreplay! Don't rush this, as that is setting the receiver up for a bad experience.

You must first prepare the area. Use plenty of lube (I find that a silicon based lube such as Eros or Eros Woman is best, as it does not dry out or soak in). I cannot stress enough the proper lube, as it can basically make or break the experience for both partners. Water based lube will soak in and need continuous reapplication, whereas silicone based lube will last longer and be much more slippery.

Now, slowly and gently insert a finger or very small butt plug. If it is a finger, BE SURE THAT YOU DO NOT INSERT THIS FINGER INTO THE VAGINA. This can cause very serious infections. Be patient, as this is a slow process. There is no reason to rush!

Check with your partner to make sure there is no discomfort, and then leave that finger or plug fairly still for a little while for the receiver to get used to it. Move the finger or plug around slightly but very slowly and very gently. Don't insert, take out, insert take out, insert take out. I'm sure you get the picture. Again, this is not a vagina! It will not stretch in the same manner and will not self-lubricate. Slight in and out motions maybe, if your partner is OK, but inserting and taking out can cause discomfort. Next, add more lube and move to a larger plug or try adding another finger.

When you get to the point where three fingers or a larger plug is comfortable for your partner, it may be close to time to try the main event. Get into the desired position. I've heard from a lot of women that they prefer to lay on the stomach. Add more lube, then add some more. There can never be too much lube!!

Very slowly and very patiently, insert. DON'T RUSH THIS! Go a tiny bit at a time, then give the receiver time to adjust by holding still. Go a bit further, very gently and patiently until the whole length is inserted. Here's the biggest mistake that most men make in this act: Pulling almost all of the way out and re-inserting, as you would during normal intercourse. This motion is the largest cause of pain, aside from rushing. The penis should not move more than about ½" to one inch during the act of anal intercourse if you want it to be pleasurable for the receiver. Some people are better able to handle this than others, so this is not a hard and fast rule, just a guideline.

The sphincter muscles automatically try to go back to the natural, tightened position every time that the object holding them open is removed, so the standard motion of intercourse causes them to expand, contract, and try to push the object out. Pushing (as opposed to pushing and pulling) and staying in pretty much the same area is much less uncomfortable for the receiver than moving like you would in normal intercourse. Rock back and forth and push as opposed to extreme in and out penetration.

It is extremely important to keep in mind that bacteria from the rectum can cause horrendous infections if this bacteria should make its way into the vagina or urethra. Make absolute sure that your toys are clean, and to be safe, do not use toys that have been used anally in the vagina or in the mouth. To be safer, you can cover the toys with condoms, but the best bet is to have toys designated as 'front' and 'rear'. If using the fingers, latex gloves are a very good investment!

My recommendations in this area: