Hmm. Well, there's painplay, obviously. There's a lot you could do with that with an immortal, but, eh, these guys wouldn't do anything lethal. They're scared every time the other goes down that he's not gonna get back up again. Maybe some whipping? Some CBT -- cock slapping, a castration band around the balls (for like 10 minutes), piercings?

The OP mentions overstimulation and orgasm denial, so edging for a few days followed by ruined orgasms or post-orgasm head polishing seems to follow from that. Anything to really overwhelm him with sensation. And since being strapped to a lab table put Nicky in mind of it, I assume that Joe spends most of this in some variety of bondage or another. Maybe on a leash!