OK since I just got through with this myself:
Get the orange one in first and wait until you're good and relaxed with that one. Next make sure the purple one is good and greased up. Remember the angle that the orange one takes to go in, and follow that. You're going to hit the muscle there and it takes a conscious effort to relax it. Play with your hip position, leg position, and gently push. I find that rotating the dilator a bit to wiggle it in helps. Just push until you feel the canal stretching and if it's too much back off a bit until the discomfort subsides and try again. If in doubt, add more lube. You may want to try adding a bit of a liquid (but still water based) lubricant to make things glide a bit better.
That's what worked for me anyway.