Having anal sex can increase the risk of bacterial infection, pregnancy, To minimize these risks, a person should take some precautions to. When a man has sex for the first time, it shouldn't hurt, but you can make it Anal sex can be painful for men and women the first time, and there may be a little bleeding. There are things you can do to lessen any pain, such as slow penetration. Anal shouldn't hurt if you take the time to prep properly. So, how does one prep for anal? Here's my wife's routine: 1. Clean up - Go to the.