Can you feel your tampon?

I'm starting to using tampons regularly (I've used pads for the last 4 years), and I've heard most people say they don't feel the tampon, but in my limited experience I can feel it. Slight pressure, not pain, but definitely uncomfortable. Was this normal for anyone else when starting to use tampons? It didn't last all day, but was strange, and I had to get used to it.