Why would God make it feel good if it's wrong?
The objection, in full
The Catholic prohibitions on sex outside marriage, masturbation, contraception, and homosexual acts all run into the same wall: the activities in question are designed, by the same God who allegedly forbids them, to be intensely pleasurable. Either pleasure is a reliable signal that something is good — in which case the prohibitions are perverse — or pleasure is not a reliable signal, in which case God built a system designed to deceive us about our own good. Neither option flatters the believer.
If God didn't want us to enjoy it, he had a strange way of showing it.
or, in plain terms —If God doesn't want me touching myself, why does it feel so good?
God invented pleasure. The devil cannot make pleasures, only steal them.
I want to grant the objection more than the objector expects. Pleasure is good. Sexual pleasure is good. The Christian who pretends otherwise has already lost the argument, because he is contradicting Genesis, which calls the body very good, and the Song of Songs, which is in the canon for a reason. The enemy of Christianity here is not the hedonist but the Manichee, who thinks the flesh itself is the problem.
What Christianity teaches is not that pleasure is bad but that pleasure has a grain, like wood, and that working against the grain splinters the thing you are working on. The pleasure of food is good; the pleasure of food severed from nourishment produces the bulimic. The pleasure of drink is good; severed from its proper use it produces the alcoholic. Sexual pleasure is good; severed from the union it was made to seal, it produces — well, look around.
The screwtape question is not "does it feel good?" but "what does more of it look like, ten years on?" The pleasures that diminish you, that need ever-larger doses, that leave you lonelier than they found you — those are the pleasures the tradition has flagged. Not because they are pleasures, but because they are pleasures pointed at nothing.