For a visual reference of the results of a properly done prostate milking, watch Road Trip.
I've tried anal play while masturbating, but the feeling of having something in my ass overwhelms any pleasurable sensations I get even from the masturbation, so I gave up on it pretty quick. Might be willing to try it again if I could find a way to guarantee that whole "prostate stimulating a mind blowing orgasm" thing. But my gf ain't up for sticking her fingers up my ass and I can't seem to get the proper angle, so no dice for me.