I was lucky that I read some great books about breastfeeding before I ever tried it, and Ewan didn't have any problems latching on. Even though I had no problems, the first few weeks were really hard.
I had a serious bruise on my right nipple and even had a small lesion. For the first three weeks it hurt really bad whenever Ewan would first latch on. I would brace myself for the pain and wince. I think he could tell that I was doing that because I would see him wince too. It stopped though. Now, it never hurts at all.
The lactation consultant at the hospital told me that breatfeeding should never hurt, but I found that the first few weeks did hurt. When I was pregnant I heard from some women that you should rub your nipples with a towel or something, but then I learned from the lactation consultant at the hospital that that is not a good idea. It is a myth that your nipples will "toughen up" after a while. My nipples now are still very sensitive and soft. Babies can get calluses on their lips from nursing but your nipples won't get calluses.
The first weeks suck because you are learning how to breatfeed while teaching your baby to do it too. The only things babies are born knowing are how to suck and swallow and how to find the nipple. They don't know how to latch on so they don't injure you. That's what you have to teach them.
My advice is too talk to a lactation consultant even if you think you are doing fine. They will ensure that you are doing fine and they can give you the really awesome hydrogel nipple pads for sore nipples. Lanolin is good, but it wasn't strong enough for me during the first few weeks.