There are several types of lubricants which are ideal for anal play and exploration. Thicker lubricants stay right where you need them, and don't need to be re-applied as often.

Silicone lubricants stay slippery longer and aren't absorbed by your body, so you don't need to re-apply as often

Numbing creams can help take the edge off and help you ease in to the pleasures of anal play.