It has to be something you find enjoyable. If not, it's not for you. Doc has several spots of anal stimulation without penetration--prostate stimulation threads and posted stickeys for men; however, the info can be applied to a female regarding anal play. The area around the anus is very sensitive and if stimulated properly many find it enjoyable (men & women). Going straight to anal penetration, if you are not into it, you will not relax and find it pleasurable.
I have found many men find the visual a turn on and enjoy the penetration since it is a tighter fit. Same for women only if they find it sexually stimulating.
Since you are not enjoying it, skipping such may be more your thing. If done properly, anal penetration, you should not have bleeding.
http://www.sexinfo101.com/forum/inde...ed-topics.html