This is, quite possibly, one of my favorite subjects and my personal area of lay-person expertise.
So prostate massage is controversial in medical circles because the research changes its mind every few decades about whether it is or isn't beneficial and under what circumstances. Bear in mind that checking your PSA levels used to be the gold standard for identifying possible prostate cancer and that has recently been abandoned because they found it wasn't as accurate as they thought.
So if you have prostatitis or have had prostate cancer, prostate massage may NOT be for you. Check with your MD first. He can explain all of it. I would explain but it would take me 3 pages of typing and boring info. If you are clear for those things, GENTLE prostate stimulation is always a good form of self care because there is not one part of your body that doesn't benefit by increased circulation and TLC.
There are a number of small things that should be taken into consideration when giving prostate massage so if you are giving yourself a prostate massage, please consider these things first:
1) Nothing sharp. The prostate is a gland and the tissue around that area is paper thin (or thinner). Small micro-cuts and trauma will not contribute to a healing process or a pleasurable experience later.
2) It shouldn't be uncomfortable. If you feel discomfort, it may not be a prostate issue but an internal hemorrhoid issue and you don't want to compromise those.
3) If it is painful, just stop. Do not pass go. Do not collect 200 sighs of pleasure. Go straight to your urologist for an exam. There may be something else that is serious going on.
4) If you use insertables by yourself - make sure there is a flange at the bottom of the thing! More emergency room stories start with "and then they did an x-ray and found a ____ in his ______" up to and including electric toothbrushes that were still vibrating at time of arrival. For the record, the poor bastard lost part of his colon as a result of this but not before almost dying from infection when the colon was perforated by the toothbrush bristles.... yah. A flange or something that will remain OUTSIDE your body and not slip inside while the rest of it is in. Solo play is fun but only if you do it safely.
5) Be generous with the lube. Next to an experienced prostate friendly provider, it will prove to be your best friend.