How do Klingon males mate with other humanoid females with their double "appendages"?
That would surely depend almost entirely on the Klingon male and humanoid female in question. There would be as many possible variations as in human mating, including a fair number of the same ones, I should think. To further flesh out
@Locutus of Bored's and others point(s) above with some text—and subtext—baring open for display, and proceeding to probe deeper into, some of the more sensitive areas of Worf's inner background...
He was initially given to boastful deflection of his shipmates' queries as to why he never got any, complaining of having to "restrain himself" too much with human women in "Justice" (TNG):
WORF: I am not concerned with pleasure, Commander. I am a warrior.
RIKER: Even Klingons need love now and then.
WORF: For what we consider love, Sir, I would need a Klingon woman.
RIKER: What about plain old basic sex? You must have some need for that.
WORF: Of course, but with the females available to me, Sir—Earth females—I must restrain myself too much. They are quite fragile, Sir.
RIKER: Worf, if anyone else had said that, I'd suspect he was bragging.
WORF: Bragging, Sir?
RIKER: I think I'll pass on that...
But Guinan sardonically put the poor dear in his place in "Yeserday's
Enterprise" (TNG):
GUINAN: All right, try this.
WORF: [tentatively] What is it?
GUINAN: Just try it!
GUINAN: [off his pleasant surprise] You see? It's an Earth drink. Prune juice.
WORF: A warrior's drink.
GUINAN: You know, you always drink alone. It wouldn't hurt you to seek out a little...companionship.
WORF: I would require a Klingon woman for companionship. Earth females are too fragile.
GUINAN: Not all of them. There are a few on this ship that would find you tame.
WORF: [bellows laughter] Impossible!
GUINAN: You never know 'til you try.
WORF: Then I will never know.
GUINAN: Coward.
WORF: I was merely concerned for the safety of my crewmates.
GUINAN: Drink your prune juice...
Indeed, both Guinan and Dax intimated they might well have had plenty of experience with Klingons (and assorted members of any number of species, and moreover from the perspective of both a male
and female humanoid in Dax's case) long before ever crossing paths and swords with Worf, rhetorically or otherwise. Worf was merely
constipated when it came to that outlet of himself. Jadzia later confronted him about his hangups in another context in "Let He Who Is Without Sin..." (DS9), eliciting him to admit to her that they in part stemmed from an incident in his youth, in which he accidentally killed another boy on the playing field, over which he had felt guilt and anxiety ever since:
DAX: And how would you know? Curzon spent more time with Klingons than you ever did!
WORF: You may have lived among my people, but you are not a Klingon. I am.
DAX: Maybe so, but you're not like any other Klingon I've ever met. What happened to you, Worf? You're a paragon of Klingon honor and discipline, but when it comes to the Klingon passion for life—the exuberance, the enjoyment of the moment—you are constantly holding yourself back. Why?
WORF: That is not the issue here!
DAX: I think it is.
WORF: I do not wish to lose you, Jadzia.
DAX: Then talk to me, please.
WORF: You know from the age of seven, I was raised by humans on the farm world of Gault? It was a sparsely populated world, no more than twenty thousand inhabitants. It often seemed as though everyone knew everybody else. But one thing was for certain, everybody knew me. I was the Klingon child, the uncontrollable one. I was the biggest, the strongest, the most fearless child on the entire planet. I fought hard, played hard, did as I pleased.
DAX: What changed?
WORF: When I was thirteen, I was captain of my school soccer team. We had made the championships, and I was determined to win. Near the end of the second half, with the score tied, my team got a corner kick. The ball sailed up high. Both I and one of my opponents, a human boy named Mikel, leaped up to head the ball. He had position, but I was determined to score. I remember laughing with excitement as I threw myself at him...
DAX: Go on.
WORF: The next thing I knew, the ball was sailing into their goal. I roared with triumph and turned around to Mikel to gloat, only to find him lying on the grass bleeding. Our heads had collided when we both went up for the ball. I had not felt the impact, but I had broken his neck, and he died the next day.
DAX: It was an accident.
WORF: Which only makes it worse. Compared to Klingons, humans are fragile creatures. I realized at that moment, to live among them, I must practice restraint.
DAX: That must have been difficult for you.
WORF: At first. In time, it became part of who I was, who I am.
DAX: And you're still afraid that if you lose control...
WORF: Someone I care about might get hurt.
DAX: That explains a lot...
(I wonder if anyone has written any Worf/Mikel slashfic? Probably. In any case, I'd say there's never been a better time to start!

)
In discussing all topics
Trek, not just this one, it's important to remember that, like Spock, Worf was always a unique individual among his "race," and in many ways not a "typical" (if anything, more self-styledly
stereotypical) example of it, with much of his own conception and understanding of its "ways" being formed through the experiences and perspectives of an outsider, and with all the according vulnerabilities and insecurities. Guinan had him pegged (but not like
that!) in "Redemption" (TNG):
GUINAN: It was a little quiet down in Ten Forward, so I thought I'd get off a little target practice. Do you mind if I join you?
WORF: [incredulous] You? Practice?
GUINAN: I like to keep my eye sharp.
WORF: I practice at level fourteen.
GUINAN: Hmm, guess I could come down to that level for a while. Begin program...You know, I had a bet with the Captain that I could make you laugh before you became Lieutenant Commander.
WORF: Not a good bet today.
GUINAN: I've seen you laugh. I like it.
WORF: Klingons do not laugh.
GUINAN: Oh yes they do. Absolutely they do. You don't. But I've heard Klingon belly laughs that'll curl your hair. Your son laughs. He's Klingon.
WORF: He is a child, and part human.
GUINAN: That's right. And you're not. You're full Klingon, except you don't laugh.
WORF: I do not laugh because I do not feel like laughing.
GUINAN: Other Klingons feel like laughing. What does that say about you?
WORF: Perhaps it says that I do not feel like other Klingons...
COMPUTER: Program complete.
GUINAN: Good game. Don't feel bad, I was doing this long before you were born. So how is he, your son?
WORF: He is having difficulty adjusting to life on Earth.
GUINAN: Ah, I can see where it might be hard for the little guy. Living with humans, being Klingon. Could be very confusing.
WORF: It will not be easy for him.
GUINAN: No, it won't. But at some point he's going to want to know what it's like to really be a Klingon. Just as you're learning now...
To sum up, Worf's habit of scapegoating his own Klingonhoods notwithstanding, there would be no insurmountable physical obstacle to the relations in question, given consent—or indeed, on a final and more serious note,
not, in the case of Burnham's mother.

(Sorry to end on such a downer after all the jocularity, but considering that angle and also the "sacrifice" required of Voq to become Tyler, the suggested implications of this particular Klingon redundancy clearly haven't been
purely to no purpose or effect beyond shits and giggles for Akiva Goldsman.)
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MMoM