Well for me, it kinda just happened. Me and my bf started out cuddling...with our pants off...then we were doing it...I kinda hurt and afterwards I couldn't really walk...
But don't do what I did, we didn't use a condom and thank god he pulled out in time.
It can hurt. I would recommend lots of foreplay before to get you relaxed and ready. Take it slow, and use lots of lube. It shouldn't be too bad, and just remember it gets better once your body gets used to the physical act of sex.