Lol! No it won't hurt, if you are doing it right. Key is trust, be relaxed, let go of your worries about mess/smell/whatever, and LUBE I promise, it really doesn't hurt, and it can be great. Just watch out that if you do it once he doesn't expect it every time! Lol
As others have said, lots and lots of lube, use fingers first, tell him to take it slowly and stop if you don't like it. Not everyone does like it, but those who do, really do. You need a fair bit of foreplay first as it will be better if you are already very turned on. If you really don't like it, though, say so. Mind you, some (quite a few) heterosexual men like having their own rears penetrated so that might be fun to try as well: again, start with fingers and graduate to a strap on if you both enjoy it.
AM I a prude or what? I wish I had the guts/ desire for this type of action, but I've suffered with piles (after childbirth)and just remember that hot searing pain and cant forget it! (I know, I know, but a stretched vagina at childbirth), well, you can't actually feel it after can you! (unless stitches etc). But PILES ugh, a curse of all curses...
ALso would be afraid of mess, or wind or whatever... naaa, not brave enough. Not sneering at it, just not brave enough.
That means I'll die and never know how that feels! LOL