Absolutely under
NO circumstances should you use an anal lube with a desensitizing agent! Anal sex is a high risk activity, meaning you can do nasty damage back there if you aren't careful. You need to know if there's any pain, and if there is, you should stop immediately.
Get informed before you have anal:
http://www.talksexwithsue.com/analsex.html
WET and Boy Butter are two lubes that work especially well for anal sex, and I'm sure you'll get more good recommendations.