Ive tried it once, but you really need lube. This is to keep it from adhering to the rectal wall and to allow it to fill out. Usually use a nylon string so it does not wick. A lady friend started me doing it. And I or she adds water to make it swell up. It's dependent on internal moisture levels and the tampon's absorbency as to if it's comfy or not.
I totally had the same fear when I first started using tampons. We have a great video on our website that gives you step-by-step instructions on how to properly use a tampon. When you are going to put in a tampon you might notice three holes. The first, which is the smallest, is your urethral opening where pee comes out of , which is not where the tampon goes or would even fit in the first place. The second hole is your target; this is actually your vaginal opening where the tampon will fit.