New to orthotics - what should I know?

Depends. First, we don't know whether you actually need orthotic devices or not, . In my experience, many people who are prescribed orthoses either don't need them, or are prescribed the wrong ones. Assuming you do need them, it is best to wean into them slowly, as it can take a while to get acclimated . If they continue to hurt you need to get them adjusted, or get a second opinion.
Break in slowly. Orthotics are like braces for your teeth, you need to break them in or you may have significant discomfort. The orthotics are meant to apply pressure to your arch to restore the architecture of your foot. It takes time for soft tissue on the top of the foot to stretch out and allow repositioning of your foot bones.