It depends how far they shove their fingers up. They won't feel it if it's high enough and they finger lightly, but if they're shoving their fingers so far in that they're almost losing part of their hand inside you, then they will probably feel it. Because the sponge can only go up high enough so that we can grab it and pull it out. If we can reach it, they probably can with their huge sausage fingers. I allow light fingering but if I can feel them going for it too hard, I'll try to change position and give them something else to focus on.
+1. Though on 2 days when I know I bleed the most I just don't let them finger me. Remember that plenty of women don't like fingering so actually when you gently push their fingers away or tell them you prefer something else, they don't mind.
Just careful with regulars

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Also when you insert the sponge try to place it right "in the middle" and right size, if you see what I mean. If it's slightly lubricated then, should they incidentally touch it, most guys shouldn't be able to make a difference between the sponge or "whatever they think we have up there inside": it feels soft and warm.