I've never been lucky enough to experience it, but the idea sounds kinky and fun.
As a giver, I think I could pull it off directly from the source. Recently, I have experimented with peeing into the sink while masturbating. With a little practice and plenty of hydration (both orally and rectally) I've found that I can control my urine flow - from short intervals to pretty good flow - while still stroking my well lubed hard on. I have to stop stroking if I want to completely empty my bladder though - but can still retain a hard on through the process.
As a receiver, the enjoyment (I think) would come from receiving it directly from the source. I've seen tunnel plugs (hollow butt plugs) and enema funnels that seem like they would work for this. Do any of the women here know of another way to fill your man's ass with some fresh hot pee?
Alas, it seems that I will only be able to fantasize what it would be like.