but lots of my friends have been able to do it first time without a problem. . ( btw, I have never had anal sex, but I expect all the advice about. Before you have anal sex with your partner, explore your anus on your own to become familiar with it's sensations. Use your fingers to gently. Anal sex tips for your first time: here are 5 things you should know and do before trying anal sex for the first time. Read more.