DO NOT TRY THIS ON YOUR OWN!!!
Find someone with a good deal of experience, and whom you can trust. This is one of those things that, if done improperly (and without the proper hygenic practice) can cause severe damage. If you don't properly sterilize the instruments and your opening, you run the risk of various kinds of infections. If improperly inserted, the sound can cause punctures in places you really don't want them.
On the other hand, many people find them to be exceptionally pleasurable, and done correctly, are perfectly safe. I've had it done; neither the worst nor the best experience. But I went to a man whom I knew to be one of the experts in the country, and whom I trusted explicitly.