Yea I don't think beginners, which I count myself as, should be feeling pain.
I think that's why I've struggled with jelqing, I often during or afterwards felt pain - maybe I was doing it too hard. Recently I've tried it again a bit gentler and it doesn't hurt.
When I use the AndroPenis extender, I usually feel a tension along the shaft and that I think is good, but when sometimes it hurts, like it's pulling a nerve, i see if I can adjust it and if I can't, I take it off and reapply. I've had nerve pain before from a motorbike crash and it's no joke so I'm not keen to get any more.
So yea like the others have said, whatever you do, start gentle, learn the technique, get a feel for it and for your own limits. It's more important to not hurt yourself than to start gaining from day 1 - you won't be able to gain anything if you hurt yourself and can't exercise. All the best