I agree going straight from fingers to a strap on is quite a big step up.
Although, there are a few out there with quite small starter dildos, such as http://www.lovehoney.co.uk/product.cfm?p=2442
You can buy new (larger) harness compatible dildos for it later, too, so you won't have to buy a whole new harness if you 'outgrow' the dildo supplied.
As for the feeling strange about it, have you spoke to your husband about that? Communication is the key. It's just something that gives him pleasure (quite understandably, the prostate seems to be a wonderful pleasure button), and he obviously wants you to be a part of it, so I'm sure there's no reason to be uncomfortable. By the sounds of things, you're more fond of it now than you were at first, so maybe your fondness for it will grow in time.