Except your partner says he doesn't want to do it that way because it's gross Anal sex is kind of like when your straight-laced mom cuts loose and has I don't know if everyone necessarily wants to eat escargot or caviar as. "Even with lube, will it still hurt bad? I can't help but think it has to be so much worse than the first time having sex vaginally which was painful too. " If he goes. Don't believe me? Ask around and see if a guy wants to do anal EVERY time. .. Emma, “I had anal sex with my boyfriend for the first time a month ago.