I am hetero, but I often fantasize that I have anal sex with a boy from my school. When I masturbate I also often insert a finger in my anus. Is this normal? Does it mean that I am gay?

The anus is very sensitive. So it is to be expected that you get excited when you stimulate your anus during masturbation. From stimulating your own anus it’s only a small step to fantasizing about anal sex. For many people anal sex is associated with gays. Maybe this applies also to you. That would explain why you fantasize about anal sex with a boy while you consider yourself heterosexual. But you should realise that it’s normally hard to draw any conclusions about your sexual preference from fantasy alone. So don’t jump to conclusions. You are gay when you are attracted to guys, fall in love with them and prefer a relationship with a guy to a relationship with a girl. If you feel attracted to both guys and girls it's also possible that you are bisexual. Take your time to get to know yourself.
If you ever have anal sex with a guy do it safely, using a condom made for anal sex.