Hi and welcome.
As one of the members on here who has enjoyed being on the sub side of chastity and pegging (another being @rockstar who is even more developed / mature on the sub chastity lifestyle), what he is likely wanting from you are things like tease and denial sessions or just outright orgasm denial.
Its important to understand what both of your roles will be in the dynamic and what he is wanting. It can develop into a full “Female Led Relationship” scenario, where he permanently assumes the submissive role and worships / serves you, or it could just be short term play, but whatever it looks like, its what you are both comfortable with and agreeable too.
Some things you can do -
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Make him earn an orgasm, for this he has to do a task that you set. It could be as simple as a massage for you, or it could be more, like a ratio (5 orgasms for you = 1 for him etc).
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Set a time period where he isn’t allowed to unlock, could be a few hours or a few days or longer (depending on his ability to wear the device “full time”). One of the most fun ones Mrs Sen and I did was drawing cards from a deck, where the number represented the number of weeks I was not allowed an orgasm, and only she knew the number (longest was 5 weeks BTW).
If he wants to engage in pegging, that will likely involve a strap on harness and dildo. When locked, I really enjoyed wearing the harness / dildo and having sex with Mrs Sen, its a real mind boggle doing the motions of sex but not actually using your own penis.
For the device itself, there are two key parts, the base ring and the cage. The base ring should be tight enough to stop him escaping, but not so tight as to cut circulation. Something like the CB6 range comes with a multitude of base rings to find the ones that fit whereas the metal ones (like the dominix cage) only come with a single ring. The cage part should be a similar length to him flaccid (slightly shorter is better) so that there is no room in the cage / tube part for an erection to form (its this part that often is too long, which allows erection to form, pulling down on the base ring and creating “ring burn” on the underside of his testicles, can be quite uncomfortable / painful.
Hygiene is also important, a fully enclosed tube/cage like the CB range will require regular removal for cleaning, whereas the metal / open bar style like the Dominix can be left on as you can much better clean them.
There is quite a thread, Chastity Play / Experiment chastity experiment I started when trying it out, there is lots in there to give you ideas.
Good luck and have fun.