I have the 6i's not the 4p's but they use the same tripple flange tip.
There are a couple of things that may help.
Moisten the tips. Many people just give them a quick lick.
I've had good experience using a little dab of purel hand sanatizer
as well as chapstick overnight treatment.
The chapstick overnight (purple squeeze tube) was recommended because
it include a silicone based lubricant that uses the same ingredient found in specalized products.
This will help them slide in deeply to get the good seal and support themselves. The better the seal, the better the bass.
The commonly suggested method to check for seal is to rub your fingers
together firmly next to your earlobe. If you hear a sound, it's not sealed.
The pain should subside within a week of listening depending on how often you use them. Canal phones take a bit of time to get used to, but once you do, it's a great experience.
As far as adjusting to it, it's been said in this forum that the etys don't burn in, YOU burn in. Your ears aren't used to having anything that large that deep in there. (uhm....you know what I mean)
Definitely use the shirtclip to hold the cord steady. This will reduce weight on
the drivers in your ears, as well has help reduce microphonics.
Lastly I believe that the 4p should have come with multiple tip styles. Try them all until you find one that you like. Everbody has different ears so it's a bit of trial and error to get the best fit for each individual.
hope this helps.
-Jeff