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Sounds like you may have some prostate problems - stimulation of the prostate making the penis sting is a classic symptom. Get your prostate checked by a physician - prostatitis is not lethal or even very harmful, but it can be chronically painful.
Morg
P.S. Am also hetero...don't do anal sex, but have prostatitis, and wife helps me treat it by massage - this causes my penis to sting too. If you're like me, the pain's worse in the tip.