Lots of lube, relax, pain is an automatic stop. Start with a small toy and work your way up to the size you want and feel comfortable with. Don't be nervous and take your time.
Should be easy enough for the first time. Like johndeere3020 said, just relax and use plenty of lube. Go slow and, if there is pain, stop, removing it if needed. Also, don't forget to clean your toy before and after use, to avoid contamination.
If you start slow and listen to your body you will find it to be incredible experience. Even better when you add another guy to the mix. Enjoy.
Lots of lube, warm up to it, and remember to breathe. As you take (whatever) in, take a deep breath. This always works for me. If it's too much, pull out and start over. It's easier than one may think. Just breathe.
Hopefully you have tried it. I have always had fun with that. Let us know if you need any more advice.
I wish I had the courage to by a butt plug, I have only used my fingers in the shower and it's okay but I never get an amazing feeling because I'm scared of hurting myself XD
I've graduated to a larger butt plug, but in addition to lube the biggest piece of advice I can give you is TAKE YOUR TIME! If you try and get in there quickly all at once it will hurt. It usually takes me about 30 seconds to get mine all the way in there as I get comfortable and add more lube as necessary. It's definitely worth the effort!