In short, it depends. The hole can be removed, and the labia can be altered and remade into a scrotum. The clitoris remains and I've never heard of a surgeon removing it.
Metoidioplasty uses the existing female anatomy. Sensation is unchanged, and is said to improve.
Phalloplasty uses a flap of tissue from elsewhere on the body to create a phallus over the existing female anatomy. You will definitely at the least have sensation in the base of the penis where your original anatomy is buried. Some surgeons can also perform microsurgery that would give you full sensation. There are limited flaps of tissue that can have microsurgery performed on them, so depending on your choice of flap and choice of surgeon, you may have full erotic sensation through the new penis, or you may just have it in the base.