Hello. I do not have any experience yet with labia, but I have experience with penises and scrotums. I have not pierced through testicles yet - but that must be done with sterile needles or auto-claved objects only and I suggest you have a lot of experience before driving anything into this area. I would also not suggest going down the urethra, due the risk of injury in an area a lay person cannot attend to well. (There are sounds to play with down there instead).
I suggest you have a look back through my [fetlife] profile that will give you some scope, and maybe join some of the many cbt, genital torture groups for more. (You need to go back awhile in the pictures, because I stopped when my sub developed cancer - not in that area).
I am not sure about your region, but I and people I know get their needles from needle exchanges. Just say they are for play piercings and so you don't need syringes. Their products are sterile and safe, and they are efficient. You will need to buy a needle disposal unit. If you bring back a full one you get a free one back and the needles are cheaper the fuller the unit. The one in Auckland that I use is in East St, just of K'rd.
I have pierced along the cock and on the edge of the glans/head and in various parts of the scrotum. I have stretched and pegged the scrotum out on a large cork with the middle bored out on it with large needles (soaked in janola). I had plans to autoclave nails to do this, but my sub became ill before I was able to. Due to the fine skin in this area I have found it easier to work with small needles such as 23 and 25 gauge needles especially in the scrotum. I have however used up to 16 gauge needles in both areas before.
Remember for bondage and needles this area is like a snail. The balls slide easily from your fingers and try to escape the needles. The cock usually shrinks when in pain, but some lucky people manage to remain in tacked.
I suggest you or whoever is doing it start by learning on backs, arms, hands and thighs before moving to such a fragile area. The skin is very different down there though, so try the web between the thumb and pointer finger. Northern Bonds occasionally has needle workshops, I suggest that you join up if you are prepared to come down to Auckland for them. I do not think they teach you cbt needle play, but it is a good place to get pointers.
As for how it feels I am sorry I have no experience there. I know it hurts in the nipples and that my new sub finds it too painful in the cock and balls. Some people love the pain, some even get turned on by it, but all I have spoken to say it is painful.
Good luck in your journey