If you're scared or worried about pain, you're probably not ready for it yet.
My first time was at 17 and was probably a mistake. I knew the guy pretty well, and we used a condom. The first time we made love he put the condom on an had a premature ejaculation and I should have taken that as a sign that I shouldn't have. But he wanted to try again in the morning. I bled a bit, not much, just a pantyliner (which I had to borrow from another girl in the dorms), but I felt very raw and uncomfortable for days afterwards.
Condoms can be very effective, but I recommend a backup method, either using spermicide in the condom or the spermicide inserts for women. That way if there's any spillage from breakage, you can rest assured those sperm are dead.
But use whatever method you feel most comfortable using. I never cared for the idea of diaphrams or iuds, so I used condoms or the bcp when I was in a long relationship.
Talk to your doctor about it next time you see them. They can fit you for a diaphram or talk to you about all your options.
Take care.