Extremely sore nipples - please help!

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My baby girl is 2 weeks old and I am breastfeeding. My nipples still hurt so bad. Some days are better than others but for the majority of the time, my nipples hurt. I use lanolin religiously, always have my boobs out to dry my nipples and have my "Brest Friend" pillow. I have had a few nurses and one LS tell me my baby has a great latch. My babies pediatrician told me breastfeeding shouldn't hurt. I am kind of at my wits end with it. I want to breastfeed so badly but this pain is crazy. I just started pumping and that doesn't hurt my nipples nearing as much as breastfeeding. I just bought a nipple shield but a lot of things I've read online make it seem like its a bad idea to use them. I don't know why that is though. I don't know what to do. I am open to any/all suggestions!! Please help!!