First off, sex is not supposed to hurt. ;-) If it does, then one of you is doing something wrong.
First off, cleansing yourself is extremely important! Use an anal douche or enema. Believe me, nothing's more disgusting than brown puddin' if you catch my drift.
Anyways, do you have some old smaller vibrators or dildos you're willing to retire? I say retire because unless you thoroughly sterilize you most definitely don't want to use a dildo or vibrator for anal stimulation and turn around and stick it into your vagina afterwards. (Even after sterilizing, there's a stigma that might be attached as well.)
Start small, with a smaller diameter vibrator or dildo. When you're comfortable, work up to larger sizes. This is to get you used to the concept of items being inserted inside you.
Use lots of lube as well.
You can also try butt plugs, and by starting small and working your way up larger, however I've found some women adverse to purchasing them.
As you gradually work your way up, you'll find you'll have more control and it shouldn't bother you as much.
Just some thoughts!
Good luck!