This happen to when i first started to have sex. But with me it went away after about 6 months. For me it hurt because it felt like a hot dog was trying to push thru the head of a needle!!!
And if I don't have sex for a long period of time, it starts to hurt again. Maybe it is the way you are doing it. Have you tried different position? If you don't mind me asking.. what kind of pain is it?