Yes there is a "groove" around the urethra where it protrudes slightly, this is where the bean collects, not in the urethra itself.
My horse collects a lot of smegma in his sheath, but not higher up (or lower down, it depends where it is a suppose :P). I've never gotten a bean out of him, some minor pale smegma, but never enough to form a bean.
You can always get your vet or an experienced gelding owner to show you too.
Good luck!
ETA this article has better pictures. The article itself is a bit useless because I haven't found a gelding who has been properly desensitised that will kick when your up in his business. Basic training, it is.
Http://www.equi-sense.com/articles/sheathcleaning.html
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