Good point about the bad latch, and also about the blisters. I did find though that there was a period of adjustment to the (at the start what seems like) constant sucking and your nipples do need to toughen up. At least, that's how it was explained to me, and the soreness did go away around about two weeks as promised by the midwife, once my body/nipples had adjusted to the change in use. So it is good to ask your midwife/health visitor/breastfeeding support group or lactation counselor about this too for help.
Constant pain is not good, and like Fun Girl says is possibly a sign something isn't right (most likely the latch) but you will when starting out get that toe-curling pain when baby latches on - that does go away after a couple weeks and pain should not be constant throughout the feed.
So do what you can to ease the pain, nipple creams and shields can and do help, as does expressing a bit of milk and rubbing it around the nipple;
Check the baby's latch, a bad latch will cause problems for you both and a good latch will make things a lot better
Cold compresses (a bag of frozen vegetables wrapped in towel will do in a pinch, or put some frozen veg in a sandwich bag, wrap in some cloth and stick it in your bra) and warm showers are good for pain relief;
Paracetemol is ok to use while breastfeeding;
It will get better and does get better as you go along!