It sounds like you are doing everything right yet it’s not typical to feel a “sting” when you insert a tampon. The “sting” is most likely from irritation of the hymen which may have a small opening or be too dry for insertion. The hymen opening may be small because you were born with a small opening or because the vagina gets tense when you are nervous about getting the first tampon in. Begin with a “slender” size tampon and wait until you have a menstrual flow before you try to insert it. You can also try placing a small amount of lubricant such as KYJelly on the tampon applicator before inserting it into your vagina. If you continue to have a stinging sensation when trying to insert a tampon, make an appointment with your health care provider who can check if the opening in the hymen is large enough for tampons and give you advice on next steps.