Congrats! Pegging can be a highly erotic and intimate experience.

As far as tips:
Use plenty of lube
Start slow and easy using a finger or small toy to warm up and distribute the lube.
Experiment with different angles, positions, techniques...and toys.
Communicate with your partner to find what is and isn't working.
Take your time. No need to rush. Enjoy the moment! less

We find tapered toys like the Champlette are particularly useful for warming up. Also vibrating options like the Tantus B-Bomb will help.

As all the others have stressed - plenty of lube. Our favorite lube is actually coconut butter - food quality with minimal intestinal distress. We also us lube-shooters to get lube deeper and more effectively than your fingers can achieve.

Early on - learn the art of the pause. Once a fairly large toy penetrates the second sphincter - a body not use to the experience will try to reject the 'intruder'. Pausing allows the receiver's body and mind to adjust to the new sensations.

Don't start to move - i.e. thrust - until your partner gives the OK - then proceed slowly.

Communicate a lot - and by all means stop at the least hint of pain. My wife was exceedingly skeptical - but by trusting me she has learned to orgasm from anal sex - just as I have learned to orgasm from being pegged. But if it doesn't feel good stop immediately.

There's an interesting phenomena if one of us goes too fast and the other experiences pain - sometimes it's not enough to just back up. The feeling of pain lingers and makes you anticipate more pain. For us the only answer was to by-pass anal sex for that session and come back to it another day - remembering not to go too fast in the future. And because we both love it so much - and want it to work, the patience just comes naturally.

Now we fight over who ass gets fucked tonight! less