I'm going to answer a little differently....
With most women, it's not like one day you "wake up" and decide that you love anal sex.... I can't speak for EVERYONE, of course, but I can share what I know with the women I've spoken with on this subject.
You can't just expect to shove something that size in a place where nothing's ever been 'shoved' before, and think it's going to feel good.
The women that I've spoken to that really enjoy anal sex, have all said that it started with anal play. A finger rimming... then a butt plug..... then a vibrating toy.... then intercourse. All these things were going on during fingering or oral sex, and the anal play was used to heighten their orgasm... which I agree is the best way to introduce any anal play.
For women, it's all about intensity. You have to know when it is appropriate to add different elements of intensity to your routine.... and the only way you can know when it's right, is because you pay attention to what her body is telling you.... or she just tells you.
That's the best way I can explain it.
Also, I have noticed, for the most part, that:
Anal sex in casual relationships only happens when a woman has had it before and really knows that she likes it/wants it. She'll definitely tell you if that's the case. Anal sex in loving/trusting/long-term relationships happens over time, if that is how her body and her preferences choose to steer you.