Does it hurt?
It can, but it doesn't have to. As with any penetration, it takes care, the proper sized toys, and sufficient lube, but there's a learning curve. So, it can hurt at first, until you learn the technique.
How far down does it go?
Up to 9 inches on men, depending on the man before you start running into bypass valves, and constriction. If it's flexible enough, it can penetrate all the way to the bladder, but that does hurt, especially with an erection. (Also, just cutting off the idea of 10" and larger cocks. It's compressible, so about 4-5" beyond the maximum length of the penis when you get into the bladder.) Don't poke the wall of the bladder, it can bleed, and get infected. The valve that cuts off the urethra from the seminal vessicles has to be forced through, to get to the bladder, with an erection. I don't recommend it, you can do permanent damage that way. It's better if he doesn't have an erection, and a cock ring makes it difficult to penetrate past it. It took me years to work up to full penetration with a "Gates of Hell" chastity.
Does it always produce a male orgasm?
I'd say rarely, if ever to the point of ejaculation, but you can cause an orgasm by stimulating the outside, while it's in place. I've never gotten, nor caused an orgasm just from that, but you don't have to only do that. It's usually better as part of a CBT scene, and it makes the glans especially sensitive.
Is it dangerous? Is thinner better or thicker?
Yes, side effects may include impotence, urinary tract infections, incontinence, and mind blowing pleasure. (With or without, even instead of an orgasm.) It's better to DIY, unless you have the pain tolerance to let someone else learn through trial, and eror. Thin, and flexible is better to start, then you can work your way up, but unless the frenulum is cut, there's only so far it will stretch. (Varies from urethra to urethra)
Probably the safest, and most pleasurable for me is beads, or ball bearings. (No lead, also check for mold seams, which can be sharp enough to lacerate.) Sterilized in alcohol, then left to dry, completely. Wear gloves. Milking them back out in a stream especially post-orgasm is the most pleasurable way for me. You can do it over and over again, it's unlikely to do damage if you don't force it, but they can just roll aside. Unlike a rigid sounding wand. With enough lubes (semen works) one of those click erasers works really well, too.
You're female. You know that forcing anything in anywhere hurts like hell. Be gentle, build slowly, and don't force anything. Watch his face for pain feedback, and know when to back off. Even if he's gagged. Women can do it too, but separate beads are dangerous. They can end up in your bladder like kidney stones. You have to string the beads, and the knot can be painful, if you don't round it off. I use mono-filament. Melt, but don't burn the end, and peen it over the first bead. Since you can't milk them out by hand from the outside.
Someone thinks they know what they're talking about, ∴ they don't know what they're talking about, and this must be complete made-up bullshit. Anyone else want to field this one? Okay, then leave it alone.