This is my experience for 1st time user (I am new to customs as well), after you have twist into your ear, the seal is not in yet, pull your ear lobe slightly down (towards ground), and then push the IEM into your ear. I would send it back if seal still break.
There are very often times when seal is not there because the shell is "dry". To make things worse, I start to adjust in and out, twisting back and forth and make the ear canal even larger, completely loosing all seal. I let the ear rest for 1 day to let it shrink back before retrying and this time I added some moisturizer (note : I add by applying on my hand which I am doing it anyway daily and then rub some on shell while I am at it), Twist the nuts in, pull ear lobe down, push in and bingo! Superb seal and vacuum is felt immediately.
Once ear become season and shell is coated with own ear wax, then moisturizer is not needed. I use mild baby moisturizer. You can also use oto ease, but its expensive and doesn't last as long as moisturizer and is sticky and yucky!!.
I am still new to customs and I suspect if pain occur, then the fit is not good. Send it back.
Here is Average Joe recommendation link:
http://theheadphonelist.com/custom-in-ear-monitors-fit-guide/
Although he didn't mention pull ear lobe and push it in, I find that this gets me the best possible seal.