You can break the hymen if you haven't already, it does not hurt for everyone nor does everyone bleed. Not even everyone have a hymen to being with. The first thing is to be aroused so you have natural lubricant and want him inside of you. You can also be on top so you set the pace. Also having a orgasm before he enters is good.
Just take it slow, don't rush and respect each other's feelings. if your a guy, don't force your penis in hard. if your a girl, try to relax and make sure you notify your boyfriend if it starts to hurt.
Well you have to be in the right "state of mind". tensing up can make it painful. so just stay relaxed and take deep breaths. also use loads of lube, and it wont be that painful. if you are a female it is going to definitely hurt because your hymen is ripping.
There isn't much you can do. Apart from go slow. And be gentle.