I started with Q-tips at the "command" of a phone-sex "mistress". After the call, I continued to experiment with this for quite a while and return to it from time to time. It is pretty frightening the first time the whole thing slips inside your cock. It is quite a different feeling stroking your cock with that thing inside. If you get used to one, slip in another. I have had as many as four, fully inserted, simultaneously.
Other objects that I have tried include the ever popular rubber worm (difficult to insert, but fun once it's inside), plastic swizzle sticks and various sized knitting needles.
The most exciting object I ever inserted was a string of fake pearls. At one point I was able to insert more than six inches. Stroking your cock and feeling all those lumps in your urethra is other-worldly.
The edgiest object was a 5" x 5/16" lag bolt. By waiting until I had a full flow of pre-cum going, I was able to twist it between my thumb and forefinger and actually screw the thing into my cock. It was one of the hottest self administered CBT sessions I ever experienced. And no, I did not injure myself by doing it.
Those are some of my experiences. I have never tried medical sounds, so if that is what you were asking about, I can't help you.
I was surfing the web a few years ago...one of the links on Internet's Sickest Sites was for Body Modification, and they had a number of links. One of them was for a gay website (I didn't know that at the time) that featured pictures of members using various sized and types of sounds as well as other 'toy' on themselves.
I'm straight, but I was fascinated, and went through all the thumbs...I was ll thoroughly turned on. I went back to my usual porn surfing and didn't think much about it. A few months later, I was surfing again and stumbled on the same site, and got just as turned on, in fact, I masturbated myself to an unbelievable orgasm, which seriously confused me because I had never felt attracted to the gay lifestyle, games or anything having to do with homosexuality before.
I did some reading about urethral play on BME's website, and found a few how to blog posts, but nothing really good. But, I was hooked. I took the little information I had and found some of the substitute insertibles that some of the gay writers described in their entries. My first experiences were some what painful and definitely not satisfying. But, I continued to be curious about the practice, and searching out material on how to do it better.
It was a couple of years before I was able to find an extra few dollars in my budget for a set of real sounds, and I did purchase a set of Pratts and a set of Rosebuds. In getting to the point of actually committing to making such a purchase, I learned a lot about my own sexual anatomy through trial and error. I ended up going to gay forums, asking question, and participating in discussions.
Just as the posts here indicate, there are those people who approach this practice with caution, there are others who want to take things right to the edge. Based on what I've read in the few posts here, I'm probably out on the edge. I've been involved with this practice for several years and I can say that it has changed my mind about many of the things that I thought about my own sexuality. I've learned it does have risks, but then all things do. I have gotten hurt, but not to the point that I would say I'm never going to do that again.
I don't want to go into all the things I think keep me enjoying this particular practice. There are more places today to get information than there was when I started. Good luck.