The mind works in very strange ways. In dreams, if you're lucid, what you believe is what will be real, more or less. If you are about to get hit in the face with a pillow, you know what it feels like to be hit in the face with a pillow, and you expect to feel what that feels like then you most likely will. However, if you know you're dreaming then you can think "this ain't gonna feel like shit" and it won't if you really believe that. The way dream control works is all belief. You have to really believe in something to happen in order for it to be so. So you could feel pain if you believe something in a dream will hurt.

In less words: Know you're dreaming and that the pain isn't real and you won't feel like it.

Also, welcome to the forums! Don't give up on Lucid Dreaming because of a shaky start. It's amazing and everyone should try it. I hope you stick with it and good luck with your dreams!