I picked this set up from AliExpress but you can find them and multiple other styles from places like
TheChainGang.com too. This particular style is Hegar.
I've played with these a number of times now and quite like the sensation. This set goes from 3 mm at the thinnest to 18 at the thickest, there are two widths per rod, one mm apart.
To date, I've managed to get up to 12 mm which is the thicker rod on the right side of the set.
Starting with the thin rods, it's unlikely you'll have much of an issue with pain afterwards since it's really most likely your urethra is a fair bit wider than the rod. But you can feel it going in and it's quite a neat sensation. From there, it just a matter of sizing up slowly until it starts to feel snug.
Plenty of lube in all cases, slip the sound in the tip and then I just let the weight of the sound slide it in. And yes, clean them well first, use sterile jelly as lube (i.e K-Y or your local pharmacy's house brand will do) and you're golden.
They're decidedly an "interesting" feeling. Jacking with a sound deep in your dick is also... an unusual and intriguing feeling.
Alas, I've never played with another person. But it would certainly be fun to do so!
Aside from metal styles, I've also seen sounds made of glass - no way I'm going that route, thanks! There are also flexible silicone versions - haven't tried that one either although they would be easier to insert deeper as they'll bend to whatever contours your urethra takes along the way. I might order myself a couple of sizes and try them out.