Don't need to tell you to be safe and rational about it. Everybody's already heard that a million times.
To everyone saying you should be married: please get out from under your rock. We're in the 21st Century, OK? Sex isn't the "Devil's work" and having sex with someone doesn't bind you for life!
Go with the flow

Make sure you're in the mood. You wanna be wet for him so it hurts less and you're looser. Maybe get him to finger you a little, or if you know something that turns you on, get him to do that.
It probably won't be the best the first time. It'll hurt a little. But, after the first time it'll be great :P
Make sure you're not doing it for your man, though. Make sure you're doing it for yourself. Is him inside you any better than your own fingers? XD