You may need to try different saddles. Some bike stores will allow returns or exchanges. They often have inexpensive "take-off" saddles that came with a bike where the customer swapped out the original saddle.
See Sheldon Brown's Comfortable Saddle page. And scroll down to the bottom for the section titled "Women's Issues"
From the article:
A saddle with excessively soft, thick padding can make you less comfortable by increasing the pressure between your sit bones.
Many cyclists are unaware of this, and many saddles are made to appeal to the purchaser who chooses a saddle on the basis of how easily the thumb can sink into the squishy top. This type of saddle is only comfortable for very short rides, (though an inexperienced cyclist will often find it more comfortable than a better saddle, as long as rides don't exceed a mile or two.)