BD: doing 'it' right.

I'm embarrassed to be asking/posting this and forgive me if this is inappropriate to discuss in this forum, but I really don't know who to ask. The thing is, I get the feeling that my DH and I aren't doing it right (I'm inexperienced as is he). More specifically idk if the penetration is deep enough and when it feels deep, it hurts me quite a bit. This is becoming a problem now with more of our BD sessions not being 'successful' and our confidence levels are dropping big time. I don't want to be afraid of sex because of pain, but is it supposed to hurt?? Add to that the desire and pressure to want a baby. How can I get fix this problem? What should I do?