Learning how to wear the device can take a bit of trial and error, and shouldn't be rushed into. It shouldn't be a painful process. Putting the extender on can be quite a juggling act, especially for those who are uncut, and it does take a little practice to get it right. Pre-stretch warm-up exercises, as suggested by Erock28, are a good idea.
Is there a possibility you are trying to put the device on while it's fully extended? Remember, it's important to install the extender in its contracted state, so the extender can go to work on your flaccid cock. If in doubt, refer to your extender's manual.
I don't think stretching can occur during an erection, but a good device will accommodate the ebb and flow of penile activity. Sometimes when I try to put on my extender I get aroused, and if I'm not careful, skin at the base of my cock can get caught in one of the extender's pinch points - owie! But once installed and forgotten, the erection subsides and the stretch can begin. Keep in mind that when installed during an erection, the glans may slip free of the noose once the erection subsides, so double check your noose.
If the glans keeps slipping free from the noose (no matter how tight), you may need to shorten the extender's length until the glans no longer slips free, and the noose feels secure but not constrictive (you don't want to cut off blood flow or go numb). Once a comfortable stretch is found, begin the penis enlargement program from that setting.