The one thing you need to know about is the vital importance of sterilisation if you want to play with sounds. Everyone, even the pope, has bacteria all over their hands, clothes, everywhere. Ordinary common bacteria which are harmless on the outside of the body can cause severe infection if they get right inside your bladder. You really don't want that sort of infection. Sounds are the perfect way to transmit bacteria from the outside to the inside so only proceed if you are the sort of person who can keep all the equipment clean and disinfected. I don't have the sort of discipline needed to maintain this level of hygiene so this stuff is not for me but maybe cleanliness is something you are good at.
The link between sounding and BDSM is misleading, there is no pain involved, if it hurts you are doing it wrong and must stop. The sort of sounds you need, Van Buren, are the same ones they use in hospitals, if you can get them from a dealer who sells to doctors they will be cheaper than from a sex shop. The essential consumables, sterile lube sachets and anti bacterial wipes, will be much better value from a medical dealer. The lube has to from single use sachets, ordinary lube is not sterile enough.
Is it worth the effort? For some men the sensations they enjoy are more intense than anything else they have ever experienced. I'm too lazy to do this properly but dont let that put you off, it might be just what you need.