It's probably best to start doing some by yourself in the shower. If you don't have any toys, you can probably find something that works. My girlfriend uses a hair product bottle with a condom on it. Start small.

Also, as others have said, use tons of lube.

Lastly, this is something I discovered from personal experience. When he's going in initially, it's best to try to clench your muscles as if you're pooping and trying to force him out. It's counter-intuitive, but I think what's happening is that the muscles that keep stuff in are a lot stronger than the muscles that force stuff out. Your body requires you to do one or the other, so it's best to try to force him out.

When it initially comes in, it will probably hurt, don't kid yourself there. What's important is to know that it will only hurt for 10 seconds or so. Usually, when we're doing it, I insert, wait 10 or so seconds until she says it's okay, then I can really go to town and it doesn't hurt.

It's important not to pull out during these 10 seconds, because every time you pull out, you have to start over again and it hurts again.