This is called Cilice (spelling might be a little wrong, lol).

It's a device of self-torture or self-punishment used by Opus Dei members around their tighs.

I lack the ability to explain it with better words, but it seems like the sel-inflicted pain gets them on a state of religious trance, or something similar - thik of the "cat o' nine tails" whip some religious people use, too.

I think ti was also shown on The Davinci Code movie (Haven't read the book, tho).