Anal sex can indeed be dangerous, but then again, so can all sex. Here are some of the things that can happen, and ways you can protect against it.
* Small, tiny tears in the anus. Anal tissue is very thin and delicate, and prone to tearing (which is why it is riskier for disease transmission than other types of sex). The way to prevent this is to make sure to use lots of lubrication so things slide smoothly; less friction means less possibility of tears.
* Urinary tract infections. While anal sex doesn't have to be dirty/unclean the way it is often perceived, it is still a place where fecal matter goes. So no matter how well you clean so that it's a pretty, sweet-smelling experience, in terms of bacteria, it may still be there. And while it's not a real problem (bacteria's everywhere), if you do anal sex without a condom, that bacteria may get caught up in his urinary tract and create an infection. Not pretty! The easy way to fix it: use a condom.
* Fistulas. Although rare, if you get a tear ("fissure") in your anus, it can potentially develop into a crack, which may get infected, and then it can gradually extend out through the wall of the bowel and form a channel across, through and into a nearby organ. This allow feces to flow from the rectum into the vagina and out- definitely not a good thing and you'll need surgery to fix it.
Anal sex isn't a rougher form of sex; it's just that the anus isn't self-lubricating like the vagina, therefore you have to take precautions with it. A thicker condom and lots of lubrication will help you; I'd also advise Googling about anal sex to learn more and prepare both of yourselves (read it aloud together and discuss it).
Anal sex can be quite a safe and pleasurable experience for both sexes (either receptive or performative), if you go about it correctly.
Good luck and enjoy!