It may feel uncomfortable at first, because you've taught yourself to regard anything in the rectum as dark and dirty, and you'll want to push it out. But take it easy; try letting your finger rest there as you're masturbating. You may feel a little burning or irritation, but this will turn to pleasure if your masturbation is feeling good. If you like, climax with your finger inside, and see how it feels. If all this seems good to you, keep up the exploration. If it bothers you, withdraw and try again later; take you time.

Once you get used to having your finger inside, you can discover new things. Stick you finger all the way in. Then feel around inside, gently, (and for guys especially:) as you masturbate, until you touch on a silver-dollar sized, round lump behind you testicles. this is your prostate gland, and you'll know when you've touched it because it'll feel hard and nice. If there's a sharp pain, however, withdraw your finger and go see a doctor, because it means your prostate might be infected. Otherwise, try moving your finger up and sown against the prostate as you masturbate. This will probably feel very good. Also you'll notice that you can squeeze and unsqueeze you anus around the finger.