You just do it. Most people I know grimmace when I clean my gelding's sheath bc the smegma looks awful, but I figure cleaning them comes with the territory of grooming. You horse needs to be desensitized to be handled everywhere on their body, including the sheath. The ONLY part of my horse's body I am super careful working around are their eyes. Even so, I give them a swab of SWAT about an inch under their eyes during fly season to keep flies away from the eyes. It looks a lot like the black smear under the eyes of a football player.
Yes, let your vet show you the first time. That's a sensitive bit of horse flesh you are touching, and you want it to be a positive experience. The more you are confident, quick and out of there, the better. My gelding? Loves it, up to a point. I am fast, use WARM WATER, and a good sheath cleaner. Had the vet show me the first time, and now it's a non event...for me. For him? sigh. I just hope no one drives by.