Anal sex should be very gentle, especially for the first time! My gf is older than me and has experience, thankfully we both enjoy it and it is actually our usual routine, I would start with her vagina and after a few minutes and I can tell she's pleased there (sometimes after some oral too hehe) I always ask "Ass?" she says yea, sometimes I would do oral there too then lube it up good, start with a finger slowly until I feel the hole has stretched and accomodated the finger then I start fingering her anus slowly, sometimes while still being inside her vag.
My ex wife, however, I was her first in everything I took her virginity, I introduced her to anal we did it slowly and everything at first but she eventually stopped letting me do it there (she got religious among other things) which actually is one of the contributing factors to our eventual divorce (she had a nasty attitude about everything in general and would always start fights, etc)
Every woman is different..
The key is to be gentle, go at her pace, listen to her if she says stop, and try to make it as enjoyable as possible for both of you. Some people do get turned on by some pain and simulated "torture" such as being tied up, spanked, introducing toys such as whips as well and should be in the normal spectrum. There is a fine line however, but as long as he doesn't really hurt you or do anything against your will it is considered normal. You mentioned your bf stops when you tell him to which is a good sign. I myself don't get much from the rough, bdsm-style play (we've tried the tying up and gonna maybe buy a mini whip, I have a huge foot fetish so I might try it on her feet hehe)