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I know that some guys do, but it's not something that I've done, nor do I have any such desire to do so.
I just don't understand the point. It's either not going to feel good, or, depending on what you choose to stick it into, could be dangerous. That's why you read about guys getting "stuck" in various things, and needing to be cut free. No thank you *shudder*
They made a movie about it :)