Umm, it's not very painful, just a little burning sensation near the tip of your urethra at first. Once the sound is in deep it's an odd sensation. Just like anything else: eating pussy, sucking cock, anal sex, nipple play, etc. once you train your body to associate a particular "odd" sensation as pleasurable, sky's the limit.
I really do recommend getting a stainless steel sound versus using a BIC pen or something completely straight. Your uretha isn't completely straight and a sound is ergonomically shaped as well as being SAFER to play with. I started off with a #5/6 six months ago and am considering sizing up. I only use it once in a blue moon, but it sure makes me hot for more
Remember to use a good slippery silicone lube and DON'T force it down... your interior plumbing is delicate! In fact, I just insert it an inch or so and support the tip of the sound with a finger as I let gravity do the rest. It doesn't just slide down likety-split, but slowly enters your cock inch by inch as your Kegel muscles relax or contract.
When the sound hits bottom, it feels like you are receiving a prostate massage from the other end... The first time I got fucked missionary by a hung buddy of mine while the sound was inside me I ejaculated and shot the damn thing 2 feet away. Afterwards I realized just how dangerous that was, I could have impaled myself in the face or neck! Can you just imagine the emergency room scenario? But boy, it sure was an intense orgasm.
After a couple of times you get used to the sensations and slowly moving it up and down as you fuck your cock feels amazing. After you are done be sure to clean it with anti-bacterial soap or any other method of sterilization before storage. You don't want any infections. Oh yeah, the first couple of times you do it, pissing afterwards is gonna burn like a bitch but that's normal and will eventually go away after X # sessions. And don't share your toys unless you guys are monogamous, you might catch a STD! Sterilizing the sound in between play while switching off is okay, but tedious.
Hope that helps. I'm not on expert an sounding, but that's just been my own noob experience. Oh yeah, I swear they have sounds the size of biscotti available... I can't imagine sticking something that large down my urethra.