Hi CGoodman,
Nope, you're not doing anything wrong! Honestly there's no "right" way to masturbate beyond doing what feels good to your body. Too, the vaginal canal is less sensitive than the clitoris, especially the back 2/3rds of it, so that may be why you don't feel as much when you try inserting your fingers.
Since it sounds like you're experimenting with inserting things as make-shift sex toys, I want to give you this piece, since it talks about how to do that safely:
D.I.Y. Sex Toys: Self-Love Edition