We just don't think about them as much as you fellas do. I asked a few women friends,
"What do we call willies?" and they said, "willies".
There are the terms used by mothers of little boys, of course:
ding-dong, (sorry too important for lower case) Ding-Dong, Doodle, Pee-Pee, Diddle-do, Woo-Woo.

The ones I like best come from men - "Winged Avenger" and "Symbol of Manly Pride"
Good luck gecko.
(and in case you're wondering, I've heard the obvious name for my man's one.)
Cheers, Joy