Practicing kegals

should I include kegals into my sessions?

IMHO, Yes!

... is it better to practice those without the aneros inserted?

I don't think there is a definitive answer to this question, however, practicing kegel exercises with an Aneros in situ is certainly going to be healthily therapeutic and might be tremendously pleasurable as well so why not?
Good Vibes to You !

@Kristianvoorhies I find myself doing some contractions throughout the day when I feel the nudges from my prostate. I probably don't even realize what I am doing, they just feel natural. And during a session, sometimes these contractions are automatic. I couldn't agree more with @rumel .

Kegels are a good practice to pick up