In general, I don't think people should be hesitant to eat foods with a phallic shape. Corndogs don't strike me as an especially good food, but many better foods such as sausages, bananas, and popsicles have such a shape. It's a good shape for manmade foods, as it allows them to fit nicely inside the mouth through the entire eating process.
Also, I don't think that there's anything particularly embarrassing about sucking on penises. It's a behavior that pleases others. We rightly admire behaviors that please others, and the sucking of penises should be no exception to that rule.