For one thing, I think most girls are shy about anal play because of cleanliness, so give your girl some heads up if you want to try it again, so she can tidy herself up and she won't be obsessing over that detail for the rest of the night. Then, be sensitive to the fact that it does hurt. I like rough sex and have a high tolerance for pain, so this isn't a big deal to me, but most girls don't want it to hurt any more than it has to, so use lots of lube, and go slow. Once you're all the way in, stop for as long as she needs you to, and just let her get accustomed to your size. Once she starts to move back against you, then continue. Usually after a few minutes, it won't hurt nearly as much, but if it does, try to find a better angle of entry.