Megaplum covered all of the basics for penis plugs or sounding. The key of course is go slowly, and listen to your body. Straight smooth objects with sterile lube are the best for starting out. I started out working the plug in and out, basically fucking my cock. For me it was more about learning to relax muscles to accept and really enjoy the feelings and The feelings are wonderful. After getting comfortable with smoot plugs move on to ridged or contoured sounds for even more pleasure. Feel free to ask me anything and I'll be happy to answer.

Ok, I have been doing it for ages so here's some advice: ALWAYS wash your toys with soap and water before play!
Start small and work your way up, I started by using the handle of an artist's paint brush, they're smooth and not too thick, then you can gradually use thicker and thicker ones until you're ready to buy a steel toy.
Don't get too eager, I've scared the hell out of myself by making my cock bleed.
Get a toy with a hole through it.
Most toys will go in more easily that they come out, so when you get one in, go in and out with it straight away.

I got one, it was totally huge. I could hardly get even the tip into my cock. I tried all the time but it was way to big for my urethra. After months and months of trying one day it finally just pops in. I left it in for a while playing with it, then when I wanted to take it out I couldn't get it out. I didn't know what to do. I tried and tried to get it out but I couldn't. I didn't want to go to the hospital, way to embarrassing. I could still pee as long as I sat down, otherwise piss would go everywhere. That thing was inside my cock for eight months, finally got it out. During that time I didn't go on any vacations, could imagine going on an airplane, with that inside of me, what if I was searched. Just be totally careful, that was the worst eight months ever. Now I can get it in relatively easily 30 - 40 minutes of subtle pressure and comes out with a little more pressure than going in.

You need something totally smooth like stainless steel, it must clean, use lots of water based lube if you don't have much precum available. Take it slow and start with small diameter. You don't have to stick it in all the way down your shaft but just stimulating the inside of the glans can feel real good too

I went to buy one but the guy in the sex shop told me of all the dangers.....I thanked him and just bought a dildo for the wife instead.....so my advice......don't do it

Start small, plenty of lube then gradually try something a bit bigger, great with a partner