To be honest, if there is even a small amount of pain associated with anal sex (or any sex!), then you shouldn't proceed or you haven't prepped yourself sufficiently.

Pain is the single most important signal we can have to prevent us from damaging or further damaging our bodies. When it comes to anal sex, you should definitely take this advice on board. You may have small fissures or other issues that will never make anal sex enjoyable or safe until you fix those problems first.

If by pain you are actually referring to pressure or discomfort then it may be that you are not relaxing your muscles enough to have intercourse. You should ideally practice taking things up your rectum with smaller objects before tackling actual penises or similarly large toys. You need to practice 'opening' your sphincter as though you are doing a BM.

Make sure you have sufficient lubrication on hand and immediately stop having sex if there is any pain. I won't recommend numbing anything where sex is concerned. As I said, if there is pain, then you need to know that something isn't right so you can stop it.