I would suggest making sure you push the tampon up far enough. If it is too low, it could hurt.

Like Kim, I use the tampons without the applicator. They are just less complicated and easier to put in (nothing mechanical to worry about) and you have more control. And they do tend to be shorter and expand widthwise rather than lengthwise, which is a good feature. The brand of no-applicator tampons I use is called "OB". Both of my teenage girls prefer tampons with applicators, though. They consider not having an applicator to be "yucky." I am not sure if this is hesitancy in touching their own bodies or what. (They would prefer sticking a tube up themselves than their own finger?) If super tampons hurt you, then use regular ones, but just change more often.