I've never had a man inside me, but I've always enjoyed insertion of toys and dildos. My best advice, if you haven't already, is start doing the same. In other words, practice. Buy a couple of toys of various sizes and shapes and try them so you know what to expect. (It can actually be quite pleasurable to experiment in this way. For example, I love a vibrator next to my prostate.)
And of course, lube, lube, lube. I prefer standard Astroglide, but I haven't really tried many--maybe someone else can chime in. (That new "warming" type of astroglide is nowhere near as good. Also, Durex play didn't impress me, nor did standard KY jelly.)
Now that covers the mechanics, but, as the other guys have said, make sure you also trust the guy(s) you're with. You absolutely need them to stop if you say stop, or you could get hurt.