Another vote of support here for waiting. (Now, I'm making the assumption that we are talking specifically about intercourse.) There's a specific beauty in knowing from experience that a partner has really gone the mile and is likely to stay around. There's more beauty in having some material stability in life first. Certainly people on a tight budget or finishing college can have a great marriage! But for me it always mattered a lot to establish a home base and, more important, chart an approximate life path together before a brand new soul gets beckoned to earth by anything that I do.
As far as pain goes, it seems that taking it a lot slower can help people grow more attuned to each other's wavelength, and that right there can avoid several causes for being uncomfortable.