First time for me was with an ex-girlfriend and my best male friend. He and I kind of sprung the idea of a 3-some on her and she actually jumped at the chance. We started off individually fucking her, but once she was really hot and wet I suggested we try something a little different.
I knew she enjoyed anal, so figured it wouldn't be too much of stretch. I lay back with my legs over the edge of the bed and she lowered her ass reverse-cowgirl onto my dick . Once she had me all the way in, she leaned back and my friend entered her vagina standing and facing her. She really enjoyed it but I wasn't able to move. His thrusts rocked her back and forth pretty well though so it did the trick.
The next time was with my wife and another couple. The other guy suggested it and as she enjoys anal now and then too she said she'd try it and see how it went. I was on the bottom again, but my wife was laying facing me with my cock in her puss. I got things started with her and then the guy slid into her ass and got going. She came many, many times and really enjoyed it too but later said it was "just too intense", like she would just practically pass out it was so stimulating.
I guess step 1 is to make sure the woman enjoys anal sex in the first place. If not, you're not going to get to step 2. If she does, then the mere suggestion due to novelty might be enough to get things rolling. More than anything, she needs to know that she's as in control as possible. Oh yeah, if she's not convinced of a 3 or 4-some in the first place, you've got a wider bridge to cross even before step 1. That's a whole 'nother topic.