The first time I used Etymotics it hurt, a lot.
It turned out I was inserting them incorrectly, basically I was pushing them into my ears where I should really have been putting my ears around the headphones.
ie: don't hold the etys firmly and shove them into your ears, just hold them between thumb and forefinger to guide them to the entrance of your ear then tilt your head down onto them while putting your thumb or forefinger on the base of them to hold them in place - you should feel them move around a little on your thumb.
Also, use lots of lubrication (spit works great for me, though I wouldn't hack up anything special for the occasion) and make sure the angle you're inserting them is correct; about 45degrees upwards.
The best tip I had for determining angle was to insert a cotton-tip into your ear (very shallow) while standing in front of a mirror and look at the angle it hangs at - that's the angle you insert the etys.
It takes a while, I actually used the ER-20s to get used to the other headphones, inserting and removing them now and then to get used to the sensation, playing with angle and depth until I was confident
It took me about 3 days to get good at it, now I can shove and forget pretty easily.
BTW, the ER-6 is extremely comfortable compared to the ER-4
When it comes to sound, let them burn in - give them a chance, play with depth and angle of insertion and you should find they sound better with a little adjustment/burnin.