In general, the penis owners don't feel any pain unless the penis owner does something silly like jamming the penis against some place other than the vagina. If the sex is very vigorous there may be some soreness after.
For women, if she is a virgin who has never had anything in her vagina before, (fingers, vegetables, dildos, vibrators, tampons, etc) the stretching may be uncomfortable, especially if she is very tense, and if she is not given the chance to generate natural lubrication. (She's not wet.)
For many women, the hymen (Google it if you don't know what this is) isn't a problem as various activities ranging from sport to masturbation, have already broken it enough for intercourse to go on without any noticeable problem or pain. On the other hand, there are some women who have an intact hymen, in which case there might be varying amounts of pain the first time she is penetrated, and some minor traces of blood.
In fairly rare cases, the hymen may be very robust and hard to break. Some even need to doctor's help.
Young couples have been having first-time sex for thousands of years with little problem other than angry parents or accidental pregnancies, so I wouldn't worry. Just be gentle and make sure the woman feels free to express any discomfort and to stop if there is real pain, just like any activity involving couples such as dancing or martial arts.