Retainers hurt, it's the truth. They're basically like portable braces that you can remove. It is normal for the retainers to have a bit of discomfort, and they did with me especially after my braces were removed and I got a retainer. What you're supposed to do, or at least what my dentist told me to do, was to soak the retainer in some water so it softens up and it is less painful to keep it inside your mouth.
The wire of the retainer is to align your teeth and the pain is natural since the wires exert a tension inside your mouth, but the important thing is to make sure you don't eat hard foods too much. They will stick inside the wires and it will be a witch to clean. :) Keep it together and just try to focus on other things. You'll be OK, as long as you don't think about it too much :D
My own experience.