If you are new to IEM in general, then the problem might be that your ears are simply not accustomed to having an foreign object yet (and a deep inserting one at that). Most people will get used to the feeling in a couple of weeks with regular use and it becomes less noticeable.. Some might never overcome and decide in-ear isn't their thing. Of course, those who are used to the feeling will still feel some level of soreness after a long period of use, which is why you should always give your ear a break every once and awhile. It is also a healthier practice.
If you are just new to ER4, then you should know that new eartips can be slightly stiff and they will break-in during regular use and loosen up over time. If you are using tri-flange, a good trick to have is to put a tiny bit of baby lotion on the flanges and that will facilitate the break-in process (which will otherwise happen naturally as the flanges absorb your skin oil). You can also get hearing aid cream like Otoferm from a hearing aid center to help with conform. It usually cost less than $10.
Lastly, I don't think there is any universal eartips that are more comfortable than Comply in general. The downside is that they don't last a very long time - generally a few weeks of regular use and they will degrade away. You can try Spin-tip which some people swear by, though I don't personally find it that much better than regular eartips (you will need to try it out to know). However, it is certain that it will not give you the same level of isolation as the tri-flanges. On the other hand, custom eartips of course will fit your ear perfectly (and can be used with the hearing aid cream mentioned above to further improve comfort). But this is built on the assumption that you are not on the first condition that we have mentioned above. If it is more of an issue on you rather than the IEM itself, then Comply or custom tips won't really help that much.
My suggestion is for you to do the baby lotion trick first and keep using the ER4 for a few weeks more, then see how it goes.