Tampon use generally is not associated with discomfort, so it's good that you asked this question. The discomfort could be from a tampon that was not inserted all the way into the vagina. When you insert the tampon, you should not really notice that it is there. Sometimes the wrong absorbency is used. Make sure you are using the lightest absorbency for your flow. If the tampon hurt when you were taking it out, felt dry or has white cotton visible after 4 hours of use, you should use one made for lighter flow. Not every tampon is made the same. There are plastic and cardboard applicators available on the market and some expand in different ways. If you are more than a little sore or the soreness does not go away or you notice an increase in vaginal discharge, you should see your healthcare provider right away.
If you're inserting a tampon incorrectly, you'll know right away because you'll be able to feel it after you've removed the applicator. You shouldn't be able to feel a correctly-inserted tampon. Also, maybe you need to switch to a lighter absorbency. I know I tried quite a few brands and sizes before finding the right ones for me, depending on how heavy my flow was. If you continue to have pain while using a tampon, switch to pads and make an appointment with your healthcare professional to check things out.
Using a tampon definitely takes some getting used to! I definitely think the best way to make tampons feel more comfortable is make sure it’s inserted as far as possible. When inserted properly, it should go so far inside you, you can’t feel anything. It definitely takes practice, and don’t get discouraged if it hasn’t happened yet! (It took me a few months when I first started using them.) And always make sure you’re using the right absorbency for your flow. It might be good to user slimmer, smaller tampons until you get used to them.