The thinner the condom, the better it's going to feel most of the time. Kimono brand has some of the thinner latex condoms that you can buy in most sex shops. If you have lots of money, I'd suggest polyurethane condoms, which are best at transfering heat and are also quite thin. They're also good for people with latex allergies, or for those who want to use an oil based lube (oil doesn't destroy polyurithane the same way it does latex)
Edit: Why exactly were you worried about going "too deep?" Does she not like her cervix being touched at all? If she doesn't mind, then go ahead and go deeper, but talk to her about it. Apparently women have more nerves clustered within the first inch or so of their vagina than further in, so not going too deep may be nicer for her anyway!
