Wash it thoroughly first to clean off bacteria and pesticides. It would probably be a good idea to use a condom for added cleanliness.
DON'T peel it. Banana flesh isn't rigid enough and you do NOT want anything getting, uh, left behind. On a similar note, bananas (and other fruits) go into vaginas only. Without a flared base you risk losing it elsewhere and that is not something you want to explain to the ER intake nurse.
Honestly, there are very inexpensive dildos that won't have any pesticides or soil bacteria on them. But then again, you can't eat those when you're finished.