My girl wants to try pegging, what should I expect?

My girl is a dom and I am figuring out I tend to be more submissive but I’ve never had anything enter me. I’m really open to the idea because everything we’ve explored has been so fun but I’m nervous about anything entering me anally. Is there anything I should know or possibly expect when we do it? Does it hurt really bad the first time? I’m also a little hairy so should I shave or something? I’m completely inexperienced so any help is welcome!