There are two mini condoms available that stick to the penis and cover the opening to the urethra. They should provide some small amount of protection, though they probably aren't fun to remove. The smallest one shouldn't affect sensation at all.
Jiftip is the smallest one. It sticks to the top of the glans. It is made of stretchy plastic and balloons out when you ejaculate. However, the ejaculate is to a large degree held in the urethra. This may not be healthy.
Galactic Cap is bigger and has a reservoir to hold the ejaculate. However, it covers the frenulum, which will reduce sensation.
