It's not common practice because the anal passage does not provide natural lubricant in the same way that the vagina does. The risk of infection from faecal matter is quite high, as is the tearing of the delicate mebranes and veins in the anus.
All that said, people do it, and enjoy it, but be aware of those dangers, and be nice and gentle, and use protection to prevent infections.
Yes it looks like a doddle on adult films, but these people do it for a living, so of course they make it look easy!
Finally, never tried it, no particular opinion one way or the other, but what ever blows your skirts up ....