2. Squeeze sterile lube onto a piece of sterile gauze.
3. Glove up.
4. By rolling, put lube on an appropriately sized sound (of course, I first show the sub a MUCH larger one) and put lube on the urethral opening.
5. For a man: Hold the penis vertically in one hand and lower – do not push – the lubricated sound into the urethra. If the sound won't glide down the urethra under its own weight, I switch switch to a smaller one. If there is any significant pain (by vanilla standards) then I try a different size sound (though sometimes pain is the result of too small a sound). When the sound has lowered itself as far as it will go, it likely is putting pressure on the prostate.
For a woman: A woman's urethra can't be pointed upward, so you can't rely on gravity to feed the sound into the urethra. You have to be slow and gentle. Since a woman's urethra is very short, I'm careful to not go too deep.
GENTLE manipulation of the sound can give a very pleasant sensation. Sensation for men or women can be modified by heating or chilling the sound (careful that it is not too hot or cold), touching a condom covered vibrator to the sound, or using a TENS unit attached to the sound.
Some say that this sensation is as close to a woman's experience during sex as a man can have. Others say it is as close to a man's sensation during sex as a woman can feel. There aren't many people who are in a position to verify either of these – so good luck proving me wrong

A smooth, round tipped metal rod inserted in the urethra stimulates the urethra and, in men, the prostate. While there is a significant amount of control involved, this is barely BDSM – you should NOT be inflicting any real pain.