Bottom line, they take a long time to break in. You can try loosening the bolt on the saddle. Sheldon Brown has a suggestion for basically soaking the entire saddle in oil to help with the break in period.

If you didn't get a Brooks with a cutout, you can perform some 'minor surgery' and do the cutout yourself. This should be a last resort as the procedure is obviously non-reversible.

If your seat post has zero angle adjustment, I suggest buying another one. Velo Orange has a pretty nice 'no frills' seat post for $25.