Absolutely, always go with lube - and be gentle. That's because the anus does not self-lubricate (at all) as does the vagina - so you need to provide your own lubrication to prevent excessive friction and tearing. Also be very gentle, and do wear a condom - let's just say you can get some unpleasant infections otherwise.
Not trying to turn anyone off anal sex, just wear a condom, use plenty of lube (ideally a good, thick water based lube like Maximus), and be gentle.
