I enjoy anal stretching very much and I do use cucumbers. I have no medical training so take this with a grain of salt, but my two cents....
a. Anal should never hurt. If you are stepping up, you will surely feel pressure etc. but no pain per say. Part of this may must just be what individuals call pain versus a bigger stretch...
b. If I feel too challenged, I go down to the next smaller size (SLIGHTLY smaller) and really go to town on my ass, then retry the bigger size etc. Sizing increments have to be SMALL. If I could machine some anal dilators, I would have them made in 1/8 inch diameter steps for small ones then back down the steps to 1/16 inch diameter for larger units. For a beginner, going from something the size of your thumb up to a modest cucumber in one step is a bad idea.
c. Don't take stranger's claims as truth. Lots of folks don't know the difference between diameter and circumference and routinely misuse these terms. Make a chart of diameters vs. circumference and get a feel for the numbers so you can filter BS from the truth; Pi x Diameter = Circumference.
d. Repeated enema expulsions are a great start/relaxer for the anus.
e. Some people just need lots more time to move up, perhaps weeks or a couple months of gentle but persistant practice. All people have "gates" that slow them down, so expect it and condition the muscles safely.
f. In the back of your mind, you really need to have a deep craving for anal stimulation, much like being horny and craving genital stimulation.
g. Finally, during your first few forays into your anus, only use a finger or two. Use the time to explore the exterior and interior sphincters. Condition your muscles and brain to normalize things going IN your anus :-)