What should you do? Just enjoy the pleasure of having such an open and honest sexual relationship. If only more straight men could be assured that it's ok to have a bit of strap-on fun every so often, peace may actually reign over this earth.
On a serious note, anal play isn't for every guy (straight or gay, as a matter of fact). The anus is a part of the body that can be a source of much pleasure for some, but considerable discomfort (both mentally and physically) for others. If anyone's man falls into the latter category then leave anal play out of the equation. Sex should only ever be fun and we all know there are so many other ways to play.
For men who are open to including anal play, it can be as simple as a little finger nudge in the region or an all-out session with strap-ons and other toys. Overall, we're definitely more comfortable with the idea of straight men enjoying sex toys these days and as such, the variety of things to try is much larger. As with women, try different things and have fun experimenting.
As for whether it's a normal male thing, it's probably not an overly common male thing but there's certainly nothing not normal about it. You clearly have a man who has discovered the joys of anal orgasms and isn't shy about exploiting that discovery. As long as you are comfortable with it, just have fun with it.
In terms of meeting other couples, there's no need to introduce male anal play into the discussion right away and if the other party shows absolutely no interest in it, then you know it's just simply time to enjoy other forms of playing. If you do find a couple that shares your interest, needless to say, don't share your toys and keep anything that goes into the anus spotlessly clean in between plays.