I've been sounding off and on for a number of years. It gets to be very pleasurable, once you get used to. But, also, once the novelty wears off, it can get boring if you do it too much.
When you first start, the part of the urethra just inside then end of your cock is extremely sensitive, and any stimulation may make it feel irritated. But after you try sounding a few times, the excess sensitivity starts to go away, and it feels a lot better.
The rest of the urethra is not quite so sensitive, at least until you get to the part that curves upward toward the prostate.
As long as you practice common sense and good hygiene and don't insert anything into the bladder, the risk of infection is relatively low. Bladder infections are possible, however, and they need to be treated with antibiotics if the occur. I've been sounding for years and have never had one.
The best thing to use is a stainless steel sound. There are a number of web sites that sell them. chaseunion is one.
If you're determined to insert something into your bladder, about the only thing that's safe would be a sterile catheter. They can be purchased from the same web sites that sell sounds. They are meant to be used once, and then disposed of.
The experience of sounding is physically pleasurable. For me it brings about an increase in the volume ejaculated, greater shooting distance, and a more intense orgasm.