Tampons and Difficulties

Okay so I have recently been trying to switch over from pads to tampons but my problem is no matter what I always bleed through them so I end up wearing a pad with it anyways. I have tried regular sized tampons and super absorbent tampons but like I said I just bleed through them. Also, I don't know if it is because I'm not use to them or what but it feels weird when I take them out. Is that normal? Am I doing something wrong? Am I getting the wrong size? I'm scared to get the super plus ones. Please help me understand the world of tampons lol