Anal sex can be very pleasurable for a woman. It really just depends on a few things. The size of the man, how relaxed the woman is, how slow you take it, how gentle he is, and how ready you are for the actual penetration.
Make sure there is lots of play before penetration. Use a good amount of lube and make sure you get into it and relax yourself. For some women there are certain positions that make it easier, some like to start out doggy style.
Make sure you talk to your husband about your concerns of it being painful. I am sure he cares about you enough that he will take it very slow, because he is going to want to pleasure you, not hurt you.
Another thing to keep in mind when having anal sex is that you might want to have clitoris stimulation at the same time. From personal experience it makes it feel even better.
If you are concerned that it might hurt you or the baby, I would suggest that you speak with your doctor. There is nothing to be embarrassed about, because most doctors have heard it all anyways.
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