I'm sure you're not doing anything wrong - you probably just need to slow down a bit. This is not an uncommon problem for couples, as they often try to go straight for penis-in-anus, rather than building up to this stage slowly.
First, throw away the desensitizing lube. It's bad, evil stuff that masks not only pain but pleasure too. When our bodies experience pain, it's often an indicator that something is wrong. If you mask the pain it is far more likely that you could do some sort of harm without realizing it. The key to good anal sex is not to grit your teeth and endure it, but to learn how it feels and let your body respond naturally, so get rid of the desensitizing lube and replace it with a couple varieties of good quality lube to find the one you like the best.
Anal sex may be your final goal, but when you're first starting out you shouldn't expect to achieve it right away. Take it off the menu, so to speak, at first, and concentrate simply on stimulating the area and building up pleasure associated with that sensation. Get your partner to spread a generous amount of your newly-purchased lube over your buttocks and have them use the tip of their finger to massage around the whole area, using a mixture of circles and firm strokes around and across the anus. Start with a light touch and slowly build up the pressure. At no point should they insert a finger, at least not yet. This stage is about stimulating the area around the anus, which will help you to relax and get used to it. If you find you are getting turned on, and hopefully you will be, then let your partner's touch progress naturally to other things you like, hopefully ending in orgasm.
Once you feel comfortable with this first stage, your partner can begin subsequent sessions by starting with this type of play before inserting a well-lubed finger into you. As your partner inserts his finger, he should also stimulate your clit, which will hopefully lead you to orgasm.
The next step is to try using a small butt plug. Again, start slow, with massage and insertion of a finger before attempting to insert the plug. I recommend a metal or glass plug as they're made of hard, non-porous materials that stay beautifully slippery when used with lube, but again, you should experiment and find the one you like the best. Most importantly, don't try to start with something too big.
The way you progress from this point on is really up to you and your partner and the level of comfort and enjoyment you have reached. Once you feel ready, you can either try moving onto a bigger plug or, if you feel ready to try something a bit bigger, you can work with something more cock-shaped (and sized). A glass dildo is a good option because it glides so well against your skin with lube. You also have more control over speed and depth with a dildo than you do with a cock.
The finally step is to work your way through all the different levels in one session but end with actual anal sex. This way, by the time you get to the point of penetration, you will be well-lubricated and most importantly, relaxed. However, just like in all the previous stages, don't rush things. Your partner shouldn't shove his cock into you but rather, insert it slowly, giving you time to grow accustomed to the sensation. Don't forget that you or your partner should continue to ensure constant clitoral stimulation, either manually or with a vibrator, throughout the process.
If at any point you experience pain, stop what you are doing, return to the stage before and slowly build things up again. After trying all of this, if you continue to experience real pain that hinders you from proceeding, you might want to check with your doctor that everything is OK.