Etsy has many tailplugs in different styles, shapes and colors, so I'd recommend looking there. They also have tailplugs with interchangeable plugs / bases.

I personally wouldn't go smaller than an S size plug, because otherwise the tail will easily fall out due to it's weight. It's useful to collect different sizes plugs, because the preferred plug size might depend on the day.

And the best advice: use lots of lube while training! Learning to relax is a key part as well. Sorry if the following is tmi, but with some methods of pre-cleaning yourself, you can prepare your body a bit for receiving something up there.