All those rumours are silly, of course you can walk! Things vary for different people, I didn't bleed and it didn't hurt.
To reduce the risk of it hurting like xxsamxx said use lots of lubrication, that will make things less painful for him too. If it hurts for him to enter you it will hurt with a dildo aswell. I think you should get used to his finger first, well lubricated and see how you get on.
It will hurt more and your muscles will tighten up if you are anxious or worried, if you relax your muscles will relax. If you aren't ready for this don't do it!
Your boyfriend should make you feel as relaxed as possible too, he could give you a massage, a great way to show affection and its a great way to relax you before sex!
When i lost my virginity i had no pain and did not bleed. But that's not the case for all people. All you can relay do is try to be calm and have him take it slow. Also use a lot of lube its should help and make it a bit easier. There is really no right or wrong way of doing this. Hope this helps!