Use condoms every time u have sex and if its painful get some water base lubrication. That's What I do..
Use condoms and an appropriate lubricant made for condoms (KY Jelly, for example). The more lubricant, the more comfortable for you. Don't use Vaseline or any petroleum-based lubricant with condoms, it erodes the latex. Good luck, don't be fooled by your fiance; he just doesn't want to wear the condom for his own reasons. Sex with a condom that is well lubricated will not be painful for you (at least, not because of the condom).
The first time feels awkward and painful with or without condoms. Condoms aren't just plastic you put over a penis. They're thin, flexible and well lubricated. However they feel differently on both parties and can be extremely uncomfortable and feeling killing for the guy. However the ONLY way it could cause pain is if it's a size too small for him or one of you is allergic to the latex or lubricant. I hate to say it but he may just not want to wear one and is trying to cop out of it.
Just keep in mind, it only takes one sperm to fertilize an egg. Do you want a baby now? I myself am the product of "I don't have a condom".