The urethral sound creates vibrations through the urethral track that are pleasurable but sometimes can hurt if done forcefully or incorrectly. I suggest you use thick lube so it can just slide down the track gently and easy.
The sound is very small for beginners and comes in various sizes. There is also ones that tingle your urethral track by using electrical pulses from the e-stim. controller. What I would suggest is starting slow and trying the smallest one till you get comfortable and use to it so you do not scare yourself or harm yourself.
This urethral sound is a penis plug with a ball so that you cannot get the rod stuck and it is easy to push in so that you can get the sensations that you desire.
To some people using urethral sounds is a big HELL NO! But to others they will always tell you it never hurts to try something to see if you like it.