Start teaching him target training. Pen with the ink removed, bamboo skewer, thin wooden dowel, etc are all great things to use as a 'target'. Heck, you could even use your hand! It may help to use a clicker to train the behavior. If so, you would want to start out clicking once and rewarding your conure with a treat immediately afterwards. Do this for two weeks, in two or three sessions each day. Doesn't have to last for more than 5 minutes in the session. Once your conure gets the idea that click means reward, you can then present a target. (hopefully, something the bird is not afraid of). Bird looks at target, click, reward. Bird moves towards target, click, reward. Bird moves closer to target, click, reward. Bird touches target, click, reward. Repeat. Repeat. Repeat. Then, move the target slightly away from the bird so the bird has to move to touch the target. Once the bird has accomplished this, you can then slowly train him to touch toys he's afraid of through approximations towards that toy.
Found some blogs on targeting, or ones that mention target training.
Good Bird Inc Parrot Training Talk: My Parrot is Afraid of Toys
Good Bird Inc Parrot Training Talk: Help! My Parrot Wont Step Up!
Search Results target « Best in Flock ? Parrot Blog
BTW, when people say that how a bird masturbates determines their sex, there is some truth to this... in cockatiels, females will lower themselves and flatten their backs while making a chirping noise. This may include backing up to something (perch, toy, etc) or into something (aka a dish) while doing this behavior. Males will find something to rub their bums on with a "tail wagging" like motion. Budgies also do similar behaviors. I'm not sure about all the larger species, but I know that in conures and macaws, they can show the same masturbating behaviors regardless of sex. I have a male conure who pulls his tail feathers forward with one foot. I know someone else who had a female macaw do the same.
