A thorough physical exam is a very important part of your pony's visit to the vet. Depending on what attracted you and your pony to ponyplay, and the resulting headspace created, a physical exam can range from sensual to mildly uncomfortable to downright painful. The latter is usually only true when devices are used to distract and/or restrain the pony. Clearly, there exists potential for humiliation here (more so than medical play), but again this depends on the pony's headspace.
I will go over a general physical exam (as opposed to a focused exam), modeled on what a bio-equine might expect. You should adapt the procedures to fit your interests: drop all the parts that don't appeal to you, and add whatever you like to heighten the experience. Remember we are doing this for fun. This is not intended to diagnose or treat any real underlying pathology.
For ease of writing, I will assume that you, the reader, are playing the veterinarian.
A general physical exam will usually be conducted with an owner/handler holding the pony in a halter while you, the vet, will conduct the exam. Start by observing the pony from a few feet away. How is he standing? How is his behavior? Both of these can be indicative of illness.
Move on the pony's head. Start with the top of the head and work your way down to his tail and finally his feet. Run your hand over the pony's head down to his ears. Check the ears for signs of decreased perfusion. Carefully check the pony's eyes. If the pony is ok with this, use your thumb to lift the upper lid of each eye and check the sclera.
Move on the pony's mouth. Check the pony's mucous membranes by gently but firmly grasping and lifting his upper lip. Check for moistness, and pallor. Evaluate capillary refill time by holding the upper lip and briefly pressing on the pony's upper gums. Release the upper lip and move on to the pony's tongue. Be gently with the tongue when you grasp it. Check for any abnormalities such as ulceration.
Work your way down the neck checking the jugular veins for filling as you go. Listen to, or feel, the pony's heart. Examine the pony's fore hooves for increases in temperature as you go. In female ponies, perform a thorough examination of the breasts. Check for any abnormalities such as lumps. Make sure you examine the nipples as well. Look for signs of blockage. Before you do this, you may wish to clean gently clean them with a cold (or warm) damp wipe or cloth.
Continue down and check the pony's abdomen for organ enlargement and signs of edema by applying firm pressure before moving on to the inguinal region. Once you reach the inguinal area, examine the testicles and penis in male ponies, and the vulva and surrounding perineum in female ponies. Lift the pony's tail and (if it is attached via a plug) check for anal reflexes and muscle tone. Consider obtaining a rectal temperature.
Advance down the pony's rear legs in a similar manner as you did earlier with the forelegs. Check for increased temperature in the limbs as well as any soreness.
Once you have concluded the general exam, you may wish to perform a more focused physical exam (e.g. mouth, abdomen, etc.) if your findings warrant further examination. Additionally, you may wish consider performing a rectal exam or a vaginal exam.
The desires of you and your pony will dictate how you perform an exam. Focus on the anatomical areas that are of most interest, or you can be very cold about the process if you seek to enforce your pony's animal status. There are endless ways in which you can guide this process.