There is another option that works quite well.
You can buy silicon cock rings in different sizes. Usually the box of rings comes with plenty in different sizes. If a ring is found that sits firmly behind the glands (ie in the groove between glans and shaft), but is ideally just wider than the inside of the cage, then it can serve to hold the head of the penis at the end of the cage. The penis can (just) be pulled out out once the cage is off but takes a little pulling. It would make it very difficult to pull out while in the cage when locked with base ring. This probably only works where a penis has glans that are wider than the shaft.
So, you'd position the ring behind the glans, making sure the outside of the ring is a bit larger than the inside of the cage. Use a stocking to draw the penis (with ring) into the cage. Lock on the cage. Make sure the ring is at the widest part of cage. Enjoy not being able to pull out.
IMHO this is not necessary where the cage fits well (ie tight ring and long cage) but would work very well in most cases for making removal difficult.