Yea, it's gonna hurt at first. Here are a few thoughts
1. A good fitting saddle is a very personal choice. Some people go through several before they find one to match their "seat"
2. It will take your body some time to adjust to a saddle. Give it some time.
3. Padded shorts do help.
4. Amazingly, those thin pad-less saddles are often more comfortable(I didn't believe it either)
I finally have found the proper combination of saddle/shorts. I did a metric century (65 miles) last month with no major discomfort. I would be lying if my ass felt 'great' but it was the kind of discomfort that went away immediately. Not the kind that lingers on for days.
-D