Looking for direction

Yes please, some advice would be nice.

The stubborn wife.

Have you tried tantric breathing techniques?
http://barbaracarrellas.com/wp-content/uploads/2011/01/Breath-Energy-Orgasm-Handout.pdf

I have always been underwhelmed by the physical feeling sex and in some ways masturbation. I have felt some envy with female partners with their seemingly more enjoyable orgasms and ability to have more than one in succession.

Your issues are pretty common for men new to Aneros use and prostate massage. First the subject of female orgasm envy, this subject crops up occasionally, I'd like to direct you to a few threads which address it, please see Are you jealous of the female orgasm?, Biggest obstacle: Envy for the oh-so-special female orgasm = huge pressure and especially Some serious questions....

I own the Anerous Syn X and the Lelo Hugo. I have tried relaxing with both in (one vibrates) for the best part of an hour on numerous occasions over the past few months. I have tried thinking of nothing and also thinking sexual thoughts. With the Hugo I have achieved a couple of erections and a little fluid from my penis but the erection goes and I feel nothing else. With the Anerous and clenching exercises I haven't experienced anything.

The fact you are having some fluid emissions is an indication the Aneros is functioning as intended. The fact you are having intermittent erections is quite normal as well, erections are NOT necessary to experience prostate based orgasms. There are many more reasons for lack of progress than there are for success in this practice. Please see the thread Identifying Obstacles to Progress and the companion thread Identifying Facilitators to Progress for some help here. I suspect you are prone to a combination of some of those factors.

I have also massaged my prostate with my finger and had my partner do the same. On both occasions I produce quite a lot of fluid but nothing more. I can climax using my penis afterwards which gives a very strong orgasm but I would love to achieve a dry orgasm so as to have more than one. If I were to continue massaging myself with my finger would this likely lead to an orgasm?

It is unlikely you will experience any orgasm after having an ejaculation as the ejaculation triggers the male refractory period. Prostate based orgasms necessitate learning a new thought paradigm about the path to orgasm, this means you need to temporarily suspend reliance upon the penile stimulation pathway in order for the new neural pathway to be established. This is the essence of the term we call 'rewiring' here on the forum, please read @Cockadoodle ’s thread Penis, NOT for the reasoning here.

As you can see from the length of this post, I have tried a number of techniques. I am unsure as to how best to continue. I am enjoying trying these but I am filled with some real frustration at the same time. This is very important to me at this point in my life therefore it takes up a lot of my thinking. Any advice would be appreciated.

The frustration you are experiencing is a very common phenomenon with new Aneros users, I advise doing some more reading and give yourself more time. The Aneros experience is not a race or competition but a learning journey without an end point. Frustration is the result of expectations not being met, when you start dropping your expectations I suspect your frustrations will abate with them. Patience with yourself is essential, learning to truly relax is important (please see @darwin's post relax, relax, RELAX) and only having Anerosessions when you are highly aroused (please see the threads Are you "aroused"? & Aneros, Arousal & Abstinence for some info.) will go a long way towards orgasmic success.
Good Vibes to You !

P.S. I sent you an introductory message with some additional hints and tips to get you started here. Click on your 'Messages' button in the Forums to retrieve it.

@lunchclubtuesday @rumel has given you a lot of good information in order to put yourself on a more productive Aneros path. IMHO, I would add (in no particular order) some practical considerations: put the Lelo away for a while; keep your finger(s) away from your prostate and rely only on the Aneros massager(s) for stimulation. Remember, prostate orgasm is not like a traditional penile orgasm through sex or mastubation. You can't "rub" it on the same way! Take your time as @rumel suggests and you will begin to feel the "gentle" sensations that develop in your prostate. In my case, I practice semen retention regularly and am also into (self-imposed) chastity play. That can really ramp-up my sexual response including prostate orgasms. Good luck to you and keep us posted on your results!