There is a device that a man can wear on his cock to stop him from going too deep. I have no idea how well it works because I've never had that problem
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As mixedmedia said, g-spot stimulation can cause the sensation of needing to pee. From my understanding, most women can learn to relax and enjoy the stimulation, but some women find it to be too much.
I guess that my wife & I are lucky because doggy-style and/or g-spot stimulation has never been a problem for us.