Yes, and done properly it can be great fun, but done badly you can land yourself in a whole heap of pain.
If you wanna get into it, here's how you should start:
1. buy a good quality set of stainless steel hegar sounds. All the ones from amazon are cheap copper tube plated with chrome, they're no good and potentially dangerous. Not sure where you are but I know some sites in the UK.
2. buy sterile water-based lube. The places that sell the sounds will have this, but I got a pack of 3 from amazon for a decent price.
3. Clean, clean, and clean. Otherwise you'll get a UTI, which isn't fun. Clean your sounds before and after you use them with really hot and soapy water, and dry them with a clean tissue. This also makes the sounds feel nice and warm. I also like to give them a final polish with alcohol wipes. Remember, after that, you must only let it touch sterile things, or you'll need to clean it again. This includes your hands and your breath if you cough/sneeze. Its a good idea to clean your glans and meatus too.
As for doing the actual sounding, there's loads of good guides, but in general the most important thing is to start with the biggest sound you can take. Most people can start on 6mm (or if your sounds are in French gauge you'll have to look up the conversion), As the smaller the sound, the "sharper" it is, and the more likely to injure yourself. Plenty of lube, and the sound should slip in under its own weight (unless you bought a cheap shitty set, remember those amazon ones I warned you about?). Once the sound stops, you can try twisting your cock or the sound around a little to see if it wants to go further, but don't try to force it down whatever you do.
Also, don't worry about "losing" a sound down your urethra, its impossible to do. If the whole sound goes in, and you can't squeeze it out just by tensing, then you should be able to find the end or the sound by pressing on your taint, and gently encourage it back upwards.
After you're finished, you should try to urinate as quickly as possible after. It might sting a bit, especially just behind the meatus, but you want the urine to "flush" as much lube and potential pathogens out of your urethra before they can start an infection. stinging when urinating is common until maybe the next day, especially if you tried to take a sound that stretched you out, but any longer than that and its a trip to the doc.
One other note, I've seen some sites advertising van buren sounds as "ideal for beginners" - this could not be farther from the truth. Van buren and guyon sounds should only be attempted by experienced sounders as they go very deep, and if you don't know what you're doing, carry a large risk of puncturing your urethra, no bueno.