Tip No. 1: Know that buying sex toys isn't a shameful or embarrassing activity AT ALL, unless you're buying the Gerbil Flex Stimulator. While it's tempting to purchase toys from the cowardly safety of your computer, I'd recommend that you actually visit a brick and mortar store, at least until you're comfortable enough to know what to search for, what brands you like, etc. Early to Bed in Edgewater is my favorite store. They also have a kickass website with advice, product reviews, educational videos and more. I also recommend going into a store so you can see the toys and try them out (at least somewhat).
Tip No. 2: Start cheap. Yes, the cheaper products probably won't last as long (if you take good care of them they might), but nothing hurts more than blowing a big wad (of cash) on that crystal double dong only to realize you don't like it. That said, don't go TOO cheap. Make sure, at the very least, to avoid hard plastics and toys with phthalates. Adult toys, unlike kids toys, aren't regulated. The first dildo/harness I ever bought was $12. It was garish, pink, rubber, and looked more like a thoughtful rhinoceros than a sex toy. But, hey, this is how we learn. I took that rhino for the ride of its life—until it promptly fell apart.
Tip No. 3: Start small. You might be tempted to reach for the Ron Jeremy dildo—because it (im)pales in comparison to the wine bottle-sized dildo next to it—but common wisdom tells us that sometimes our eyes are bigger than our vaginas. Especially if you're experimenting with anal toys, working your way up the size ladder is always better. Plus, then you can feel like you're advancing with each level—like in swim lessons, from guppy to tadpole to sexual Jedi shark!
Tip No. 4: Buy lube. It's cheap. It's helpful. It's like an adult slip ‘n' slide for your nether bits.
Tip No. 5: Have a conversation with your boyfriend before you visit the sex shop. I know, talking is boring but it helps to have SOME idea of what you're looking for. Something for him? For you? For both of you to use together? The more pre-game knowledge you show up with, the less daunting all your options will seem.
There you have it. Now quit toying around and start toying around!
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