I suppose I\'m prejudiced because Hegar sounds are the ones I\'ve started with, but they\'re the ones I would recommend because of their design.
While any sound--or any other object used as one--can cause damage if not used properly, the Hegar sound\'s smooth, rounded ends and relatively short length help you avoid beginner\'s mistakes.
Everybody\'s anatomy and sense of pain/pleasure is different, of course, but an excellent piece of advice I got when I began sounding, was to start not with the very smallest (3-4) of these double-ended sounds (the sizes are incised into each sound, so you can identify it). I started instead with a 7-8.
If you can accommodate this size (and don\'t force it!), it\'s a good way to begin because the somewhat greater thickness of a 7-8 makes it less likely you\'ll hurt yourself.
In any case, go slow, use lots of sterile lube (K-Y liquid or gel; or Surgilube--both dry too fast and need frequent replenishing, but they\'re safer to use), and be sure to wash your hands well with antibacterial soap.
When you\'re done, wash used sounds in antibacterial soap, then transfer them to a pot or pan and boil for five minutes. Wrap in a paper towel and saturate with rubbing alcohol and store in a plastic bag until your next use.
As you have no doubt heard, sounding is incredibly pleasurable. But you have to pay for that pleasure by using caution and common sense. Don\'t let the heat of passion overcome your good judgement. Play it safe and stay healthy--and enjoy!