Okay, so I've been away for a while because I had no internet connection at home (we moved to a different flat and it took our ISP about three weeks to get our internet connection ready). I'll try to answer everything I got asked during the time I was away.
@Johnathan: I usually press the cage as close to my body as possible so the tip of my penis and the tip of the cage are having contact. That way I can at least reduce the noise coming from urine dripping down the cage and I also (mostly) prevent the dripping of urine afterwards so I don't have to wait that long to pull my pants back up (although that's not that big of a problem because I wear a sanitary pad most of the time anyways for "other" dripping issues).
@Megan: I'm afraid @Vanessa is right. I tried a couple of times using both soap and the lube I usually use to get in the cage but I wasn't able to pull out of it. However, I almost managed to pull out of the "travel device" I wore for a couple of days last year when we flew to Tenerife. I guess next time I wear that one I'll try it with soap or lube, maybe I can get out that way.