Are tampons supposed to hurt going in?

Hi Ladies, I'm a 15 y.o. virgin and I tried to put in a tampon and it hurt so bad , I literally started crying. I couldn't even get it all the way in and it was the small size. I wanted to try it because I don't like pads and everything I've read says that it shouldn't hurt. At least not as badly as it did. Please help cause I don't know what to do? Does it really hurt that bad the first time or did I do something wrong?