Using tampons for the first time

So I used a tampon for the first time and after I put it in it still felt like something was up there so I was walking weird , then four hours later while I took it out it hurt but that could be because I didnt leave it in for a long enough time to absorb a lot but I have a heavy flow so I thought it would be ready to come out, the next day when I peed it burned really bad, is that a side effect or should I stop using them?

Does it matter if I have a small frame?

The tampons were regular absorbency.

I'm trying to get into using them because I'm going to be trying out for a lot of sports this year and the pads I use are bulky and make me look like I'm wearing a diaper.