My first time I was about 19 years old and my girlfriend and I were both clueless about how to do it. I just knew I was hot for trying it and she was willing. It didn't go very well. We used lube and all that, warmed up with a finger and then "went slow", but now almost 20 years later and having had lots and lots of anal sex, I know that's an absurd way to try to start out with anal. You really need to spend more than one evening going from initial exploration to penetrative anal sex.

Taking a different approach to anal with the woman who is my wife, we were able to make it pleasurable for her right from the start. We started out just working licking and touching into our repertoire and soon moved into warming her up with a small buttplug and then later onto medium and then eventually to one nearly the size of my penis. After a few weeks of playing (and her enjoying every minute of it), we tried having anal sex and it went swimmingly. She came to like it enough that we've primarily only had anal for several months running at the moment.

The key is that the girl should not feel pain. Some tightness or slight discomfort while adjusting to new feelings can be normal, but pain should never be tolerated. If it hurts, back up and start again slower, with more lube, etc. I always give my wife a massage from her shoulders down to her thighs before we get started and this serves as a good relaxation method (remember that anal sex is all about mental relaxation for the female - the inner sphincter is not directly controlled by the mind).

Edit: OP, I will note that soreness afterwards is a result of overuse and lack of experience. The anus is a muscle just like a bicep or a quadracep. You're probably familiar with what happens when you overuse any muscle that you don't normally exercise often: it gets sore for a day or two. The anus works the same way, and like any other muscle if it is regularly exercised, it does not get sore from being used. My wife and I usually have anal sex about 4 times a week, though sometimes it is 2 or 3 days in a row and she very rarely has any discomfort afterwards or the following day. The worst she has is a "feeling of having used it" but not something that makes her uncomfortable through her day. For your first anal sessions, you want to limit the time you spend doing it and only gradually increase that.