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For information about why people engage in this activity, and the needs or wants which may be satisfied by this type of activity, see Motivations.
Some BDSM practitioners will freeze water inside a condom (often with the aid of a cardboard tube to retain the shape) and insert it in either of the lower orifices of a submissive or bottom. The use of a condom during insertion is strongly advised because if the temperature of the ice is below freezing, sensitive membranes may stick to it and tear.
Alternatively, some BDSM folk will use ice-water for enemas. See safety below.
Heavy, metal chains can be useful in ice play because the metal is going to be inherently cold anyway, and this can be made more extreme by storing the chains in a freezer before use.
It's important to note that inside the vagina or anus there is a rich flow of blood very close to the surface of the membranes therein. This means that the temperature of a quite a lot of blood can be reduced dramatically very quickly during ice play. Ice-water enemas are particular risks for this, and can lead to comas.