If this isn't something you enjoy, you should not let your boyfriend do this. Everything you do together should be with your full consent and both of you should enjoy sex - whatever is involved. Some people get pleasure from pain but if you dont, dont put yourself through that!
Well, I guess it depends what's going in, and how big it is, and how clean it is!
No real problems. Make sure the item is adequately lubed, unless you are really already wet enough.
If it's hurting it's probably either because it's too big, there's not enough lubrication, or you are not adequately relaxed. If you are not enjoying it, don't do it!