The very idea makes me wince, cross my legs and hold my privates...a massive hard limit for me. But, there are others on here who are into it and very knowledgeable. Am sure someone will pop along soon with some input!
I've done sounding on a guy, he loves it. I like to use a small crop to tease him with.....a light thwack on his nipples, balls and cock. Or I've put clover clamps on his nipples and pulled at the chain whilst I'm using a sound.
I wouldn't try sounding on myself, having the coil fitted was uncomfortable enough, plus I have a low immune system, so I'd get infections/UTI's. Don't know any women that sound their urethra or cervix, only seen it in BDSM porn.