I won't comment on you considering cheating because of this, it would only be offensive of me to assume you didn't already know what I was thinking.

As for anal, I'll direct this to her..

The head is the worst part, honestly, at times it can feel like you're about to die when you're not used to it or they go faster than you are ready for.

If you aren't the kinda gal who'll work on stretching things down there yourself, or getting him to help out with it then its going to be a much tougher ride than it needs to be, fingers, toys, bottles, whatever all ease the way when used with plenty of lube (and believe me, can feel nicer than a dick at times too)

When it comes to actual anal sex, regardless of how well practised you are with other things, its still going to hurt a little at first, there is less control when using a cock for a start, and the head as I've said, is the worst part.

Take control.

As the one likely to be in pain here, you need to take charge of how far things go, back up to him and push then stop when the pain gets too much, but DON'T pull away. Pulling away makes things spring back and makes the pain last longer, just take a short time out with him still there until you're composed then push a little more. Once you're past the head you're going to feel a little odd, like you need to toilet in most cases, don't worry, you don't and it will pass. Don't be afraid to add more lube in the middle of this, it helps a LOT.

Don't push yourself because its what he wants, anal sex is a wonderful thing, but only when you're doing it because you're ready. Once the head is in he can start moving a little but again, you tell him how far and how fast he can go (in doggy style I find a nice back kick works well if they trying pushing their luck) but do not let him pull out all the way until you're at the stage where you're totally relaxed and the pain is over with. When you get to the stage where he can move freely and you're enjoying it, its all over with and you can get down to throwing it into your sexual activities when ever the mood takes you.

The pain at first can be terrible, but honestly, it doesn't last long and can feel so good in the end.

Key words for women exploring anal for the first time:

Lube
Relax
Toys
Practise
Control