Well, not having a gag reflex for sure helped me a lot the one time that was really tested, but that's not really "advice". As others have mentioned, learning to control your breathing is really important, because then you can just get into a rhythm with the thrusting of the guy. Also, make sure he understands he can't just shove it down your throat and then stop and hold it there indefinitely (your windpipe comes in handy for other things, too... like breathing).
Yes, practice on other items, not only so you can improve, but also so it won't be as nervewracking the next time you're with a big guy. Nerves activate anxiety and that leads to tension and tension isn't helpful for sexual exploring (I think Yoda said that first, right?). Well, except for sexual tension, but you'll be past that by then.
Once you're more accomplished with the basics, it's really great to get on your back on the bed (ottoman, table, whatever) with your head slightly over the side. That helps take the curve out of your throat, which will let him really get into thrusting and (trust me) he will remember you for that. :wink:
Finally, attitude is a big part of it, too. Even if you're not completely successful the first few times, if the guy knows you really enjoy even making the effort, there's no way he's not gonna enjoy watching you try. Just relax and go for it!