The short answer is Yes, it definitely will hurt, and you need to use lubricant. And it's dangerous (in a way) without lubrication. Your anus is not a muscle, the way your vagina is, and things aren't meant to go up there. Tissue can tear and even if your being safe (using condoms- which I heartily commend you for, some teens now think that because it's not "real" sex they don't have to be safe) and keeping STDs and HIV risks at bay, those tears can still be painful and hazardous to YOU.
If he's saying he can't find lubricant, it's probably a lie. You can find lubricant just about anywhere you can find condoms. I recommend checking Wal-Mart, Walgreens, CVS, and other larger chain stores for simple, well known lubes like K-Y or Astroglide. If you can find one a lubricant specifically made for anal sex would be the best, but if you can't, stick to the ones you can find.
But really, YES. Do use lubricant and use a lot, especially for your first time!
Also, you'll have to go slowly and use a lot of communication between the two of you before, during, and after. If you've never had sex, anal sex is something you probably won't like, but giving it a shot is fine, but you need lubricant and lots of communication.
Here's a few simple How-To guides for your first anal sex, read the whole thing, read other things. I mean, you don't necessarily need the parts about sex toys, but the rest you should read, and read more sites as well. Know what you're doing before you get started.
First time anal sex guide - LoveHoneySex Tip of the Day Blog - Five easy steps to first-time anal sex - LoveHoney UK Sex ToysAnal IntercourseBut you should know, anal sex is still sex. Holding off sex till marriage but still having anal sex is contradictive, and if waiting is moral issue, you're definitely still breaking your moral rules. Make sure you're doing what your doing because you want to (and doing it right and safely), not because he want's to get off while still being "good".
Do your research, go slow, use lots lots lots lots of lubricant, be safe,
and have fun. (although, if you don't like it, don't let him push you into doing it more)
Good luck :)
<3
~Sin
