Anal Training Sets

An anal training set is a series of two or more anal-safe toys that are packaged together in graduated sizes, from a smaller one to larger ones. They are often butt plugs, but could also be shaped more like dildos; they can vibrate, or not. The idea is that someone seeking to enjoy insertive anal play, potentially including anal intercourse, can start with one of the smaller toys and get used to inserting and enjoying that, and move to the next one, and so on. Sometimes people choose their anal training sets so the larger sizes matches the size of a partner's penis, though of course one doesn't necessarily have to add penis play to anal exploration. 

They are also often a great value for those who simply want to stock up on some differently-sized erotic toys! 

With a set containing at least two or three insertable toys, get some compatible lubricant (use plenty of it!) and start exploring gradual anal insertion. You can do this with a partner, but many people prefer to begin alone during masturbation so they can go at their own pace. Remember that anal insertion is not supposed to hurt, so don't make the mistake of trying to force in a toy if you are not relaxed enough. Relaxation and lubrication are key to anal safety and enjoyment, and if you are sharing this experience with a partner, add the third key: communication. 

When you are fully comfortable with, and enjoying, the size you started with, go up one size and start the process again. Take your time and stop if it's uncomfortable. Some like to insert lube ahead of the toy with a lube shooter. 

No, not if it's done via relaxation rather than forcing a too-large object into the anus. (Do not do it that way! That can cause damage.) The muscles surrounding the anus and anal canal close back down after penetration, and you can exercise them by doing Kegels (aka pubococcygeal exercises). 
Blog post: https://www.goodvibes.com/good-vibes-buzz/sex-tips-tricks/grabbing-on-tight-kegels