tampons feeling painful?

Kaytie
I've always used pads because I never really thought of using a tampon. 
Recently I tried using them because I thought it would save changing a pad every hour or so and worrying about the blood going on clothes etc.. 
but when I insert the tampon it hurts! 
I followed the instructions, read up online and watched videos. 
I can feel the tampon after inserting it, and when I stand up or move around or sit down it's painful and so so uncomfortable!