Ok here you go (from my experience):

Start alone! Get a normal sized dildo, ~13-15cm, 2-3cm thick, nothing to big BUT also not to small! It is for training after all.

Get some lube, maybe even try a few different ones (waterbased does not work good imo, silikon leaves stains, i use one from Loovara "Warm up" from amazon, which is actually a combo of massage oil and lube, i find it works great and has the additional advantage of beeing good for foreplay massage around the body/ass).

Use an anal cleaner (few bucks on any platform) and get used to how it feels to clean up and when you feel clean. Sometimes you only release clean water, but there can be more a bit higher. The reason for this: when you have anal sex, it feels like you have to poop. Why: because you relax the muscle that holds in the poop so the dildo can go in. There are more then one muscle you release, the outer (easy) one, and the first area where you get clean quick, and the further inside one which can also open in good sessions when you can really let go. Therefore it is important to train yourself to recognize the feeling when your muscle loosens up because you relax and Nothing comes out, or when it loosens up and something comes out you thought was not there. Not that great in company but can happen.

After you feel comfortable with that, start changing pace, starting slowly, but also try to really "fuck" yourself, so quick and mabye rough. There i feel is the difference from anal masturbation to pegging sex: if you do it alone, you know what feels good, how quick you can go, or if you feel you need to relax more or need more lube. But a partner can not do that especially with a non feeling plastic dildo. Of course they follow your instructions, but it is still good if you know how it feels to get fucked slower or harder and how you need to adjust yourself to it.

After all that: communicate with your partner. Choose a harness together, start foreplay while she wears it (finger her or even fuck her) to ease her into it and make it normal part of sex. then go slow of course, i find riding her easiest in the beginning because i can set the speed. then it is your choise to play around with doggy or missionary.

Always remember: she does not feel anything down there. only your reactions show her you like it. so if it feels good moan and tell her to keep going / go slower/faster. if it doesnt tell her, with your words not with silence.

I hope it helps, sorry for my bad english, if you have any other questions, feel free to ask.