TER General Board
For me, it definitely depends on the mood during sex. Also, nicely trimmed nails and a bit of finesse help as well 
but typically, when this does happen, it makes for a very intense orgasm for not only me but also for my partner
Sound obvious but you'd be surprised... Just a little pressure on the perineum, the little sensitive flap between the holes can give a good feeling as well. And watch who you probe in the ass, it's not always stimulating for everyone. If I'm in the mood, no thumb needed, you'll probably be DP'ing me with my dildo in one hole and you in the other! Fun times! 
While most men understand that, with their penis, it is necessary to approach the third hole very gradually, with TONS of lube and a modicum of finesse, they rarely take the same consideration with a finger. I can't tell you how many times I've had a dry finger shoved up there without warning. Some of the time, I wasn't prepared for a Greek appointment of any kind, either. And yea, I usually just bear with it.
Having the asshole lightly massaged is OK, as long as there's some type of lubricant and no fingernails or penetration. But not necessary. I'll likely be more worried about where that finger is going to end up in a minute and a half.
One time, when I was new, a client stuck his finger up there. So, when it was time for his BJ, I put a condom on my finger and reciprocated. He didn't like that too much...and he didn't even get the full benefit of the experience as the lubed latex added some smoothness. Do unto others as you would have done unto you
If you MUST, please please please at least use lube. And if you think you're going too slowly, go slower.
