There are a lot of companies that sell sets of plugs intended for warming yourself up. So for example it might be a set of 4 in various sizes, with the smallest being only a tiny bit bigger than a finger.

Personally though, I don't really like plugs and beads or really anything designed to go in easily and harder to remove. I ended up settling on a nice, simple plain dildo with a flared base, but I definitely wouldn't have been able to use it if I didn't practice with the smaller toys first.

And like the other comments said, use lots of lube. The best advice I ever received was, use as much as you think you need, and then add a little more. And if you go at it for a while you may need to add more periodically.

Above all else - if it hurts, you're probably doing something wrong.