It hurt a lot

So my first time losing my virginity hurt, a lot! We've tried multiple times and each time it really hurt, but the most recent time we actually had sex, and it hurt a lot still. I was naturally lubricated and I know I was nervous, so it may also have like affected it if that makes sense? Also, I've never masturbated by penetration, so that was the first thing that's ever been up there, and it's above average! Should I buy lube, try and masturbate other ways that could make it hurt less, both?? help pls