I've had bad experiences with anal sex. Should I try again?
The next thing you want to do is cover any concerns with your partner. Express to him that you are worried about pain, or whatever that concern is. Discuss how and when you are willing to have anal incorporated into your sexual routine, as well as perhaps a Plan B in case it doesn’t work out for you. I would go one further and say that that it is perfectly acceptable to outline expectations around anal for the future. For example, if one of you likes it and the other doesn't, how will you handle that? That, of course, is a conversation that can be held after your initial try.
Please also remember to never allow him to penetrate you vaginally once he has entered you anally without cleaning off/changing condom. If there's one thing that'll ruin your play, it's a nasty infection.
Your very best bet with this issue, and any others you may encounter, is to thoughtfully talk to your partner from a genuine place. Be yourself, and be true to that self. It's also important that you both get educated about a new sex act to ensure that you're doing it in the safest way possible. If you do try anal sex, it's a lot more likely to be the fun you're hoping for ... or at least not end in disaster. (Find out what can go wrong - and what you can do to make it right in Why You Shouldn't Have Anal Sex.)