Good for you! Stick with it, it will get better!
Make sure you have a good latch.
Try different positions.
Let your nipples air out before covering! (very important).
Use Lansinoh if it helps - check before using other products to be sure the baby can have them - I used to rub breastmilk on my nipples and let it dry, never needed lansinoh.
Be on the lookout for thrush - shiny pink/red nipples, burning sensation even after breastfeeding, white splotches in baby's mouth. I used gentian violet to cure it - found it in the drug store, it's been used for years and works great!
Overall, stick with it, ask questions, stick with it, and get help if you need it!
D4D