Should I feel wrong?

When my BF and i have sex it usually feels good, we talk to each other, say what we like. He is the first guy ive done bjs in so im not so excited to just jump into doing that. Well when we have sex he starts rubbing on me down there to try and make me cum. Usually it works, and pretty quick. Or either I get extremely close and my body makes me stop. I become sore and it hurts to keep going. He is the biggest ive had (not sure if that is relavent) but then he hasnt finished and I dont feel like a woman but it just hurts. He has never pushed for more than I could do and is very respectful, but because he doesnt want blue balls he goes to the bathroom to finish, and I want to cry every single time. I feel like i have failed. He tells me its fine and while we have sex he is telling me how great he feels. Someone please give me advice