Terrible idea to double bag.
While there does not yet seem to be any scientific literature to support this stance, it comes from the advice of professionals who are most knowledgeable in the area of contraception and sexually transmitted disease (STD) prevention.
Their explanation is that during sex, an excessive amount of friction will occur between the two condoms and increase the likelihood of either, or both, condoms breaking. If you are scared just rely on the use of one thick condom meant for anal penetration.
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