Did you buy a female specific bike? The reason I ask is because females have wider hips then men, and if you purchased a bike designed for men, it's very likely that the saddle is too narrow and you are straddling the saddle with your soft tissue instead of sitting on top of it with your 'sit bones'.
You might need a new saddle. I wouldn't 'tough the pain out' because that can lead to injury over time. If the pain is as bad as you say, then something is seriously wrong and you need to stop and make an adjustment, even if it costs you some money to do so.