Women may, if you wish, remove your finger and skip this page.
Men, you may feel something inside yourself, on the bottom, that feels like a large lump behind the fleshy membrane of your rectum. This is your prostate. A large part of the pleasure of anal masturbation for guys comes from it.
You may have trouble reaching it depending on your position and your own anatomy, but give it a few gentle rubs. Does that feel interesting? It is not delicate - you can be pretty rough with it - but we'll leave it at that for now. Remove your finger when you're done feeling around, and continue.