An Instructional Tease: Intermediate Anal
Anything that goes in your ass must be clean and lubed. An ass is not like a pussy: a pussy has an ending and is closed off by a cervix, while a rectum keeps going, deeper and deeper, as this diagram shows. Thus any toy that goes in your ass must be retrievable. Butt plugs should have flared ends so they don't get pulled in all the way, and dildos should be long, and you should keep a firm grip on them.
Luckily, your rectum is meant to get rid of anything inside it. If a dildo goes all the way in, you can try to push it out over a toilet, or (now that you know you can fit two fingers inside yourself) try to pull it out manually. If neither of these things succeed (and don't push yourself too hard or you might do more damage than good), then you will need to go to the emergency room. This can turn from a simple masturbation session into an expensive nightmare.
Never put anything glass in your ass unless it's designed for it, and never put anything sharp in there. Be careful of things that can pinch, and all edges should be rounded.